Pretty much you give thanks for all of the good things you have in your life, such as your health or the health of your family or things of that nature.
It's not a religious holiday per se. A lot of people direct their thanks towards God, but believing in God isn't necessary to be thankful. Pretty much all Americans celebrate it, not just Christians. I'm an atheist Jew, and I celebrate it.
It's on the fourth Thursday of November. I have no idea what the significance of that day is.
What separates it from the other winter holidays in my mind is the fact that it's nondenominational. It's not a Christian or Jewish of Muslim holiday, it's an American holiday. It celebrates the beginning of American society.
Generally you have a big family gathering, eat turkey, stuffing, sweet potatoes, and cranberry sauce.
Yes, this is purely an American thing, although I think that some other countries have similar holidays on different days.