Here in Canada Thanksgiving is an important day. It is most likely in family that you celebrate this special day.
It would probably easier for me to help you if you asked me direct questions if you have any more.
Because I think Samuel told you the basic of what and when is Thankgiving !
My mother used to have us do some thanks giving activities. Here is a web site she showed me that I think you could use to find some ideas for your students. This website is also very good for special celebration celebrated here in Canada and United states. http://holidays.kaboose.com/thanksgiving/
Here is another site explaning where does this holiday comes from and what it is supposed to mean for Americans and Canadians.There's also an activity part. This second website may be more useful for your classroom. http://thanksgiving-party.com/
Have a nice day !!