First, you develop and narrow down your topic -- the general idea of what you're going to be researching. From that, you need to develop your research question, i.e. what is the question you are attempting to answer by doing your research? This, in turn, will form the basis for your paper's thesis (your claim/argument/answer) which you'll explicitly state in your introduction.
Thesis statements...
Specific
Contestable
Narrow
Provable
Start off with your theme or initial topic idea.
Start writing down what comes to mind -- what do you already know about this central idea? Include specific examples, keywords, causes, impacts... throw everything at the wall now. We'll worry about what sticks later.
Don't stop with just one layer of ideas -- keep drilling deeper!
Once you get stuck, start doing some not-really-research. Hit up Google, Wikipedia, your textbook, and so to get some more bits and pieces to add in.
You may have started out thinking you knew what that central idea would involve, but now you can see how big (and how many possible directions for research) there really are!
Now that you can see what's going on, consider where your connections are strongest, or where you've made the most most, or what seems most interesting to you.
What are you asking yourself about those ideas? How do they relate to each other? What do you want to find out more of?
This view represents one possibility for a narrower topic. We might ask,
Another possibility...
... and another possibility.