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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.
Develop Your Thesis
Your thesis is where you put forward your argument in a concise, declarative way. It is typically one sentence long and comes at the end of your introduction paragraph. You should only develop your thesis after you've started doing your research. You can have a thesis in mind as you start your research, of course, but be prepared to change it if you find it's unsupportable with the information available to you.
Thesis statements should be:
Specific - lay out exactly the arguments/reasons you're using in your thesis
Contestable - if you can find a definitive yes/no answer within a few minutes of Google searching, it's not arguable enough
Narrow - not about all of privacy ever, but this little sliver of a privacy issue in this particular time and society
Provable - or at least something you can persuasively argue.
Your thesis statement should essentially give your reader a preview of what arguments you'll be presenting over the course of your paper.