A thesis statement is the main idea of whatever it is you're reading. If you can sum up the author's argument into one sentence, you've got yourself a thesis statement. A thesis statement ends in a period and states a fact. As such, a thesis statement can be proven or disproven, and proving the thesis is the purpose of all the words that follow it.
Because the thesis is of such great importance, it is almost always near the beginning of the document, whether it's three pages or 300 pages. Most people are introduced to this idea in high school essays, where the direct statement of a thesis is of vital importance. If the author states his thesis directly, it's likely at the end of the first paragraph or chapter.
The thesis is easily the most important part of any non-fiction document. Because the thesis is a statement the author is attempting to prove, the reader needs to know what the author is discussing as he progresses throughout the author's argument. The thesis describes not only the author's topic, but also his viewpoint on the subject. The thesis is the base of a pyramid, the foundation upon which an author's argument is built.
When you encounter the author's thesis statement in your reading, underline or circle the statement. Do your best to commit it to your memory. When this statement is short, that's easy to do, but at times thesis statements are so heavily qualified they may take up a page or more. In that case, simply try to find a line that sums up the author's argument and keep it in mind as your progress through the reading, referring back to it throughout the reading if necessary.