Thank you for your question, and welcome to our country! I hope your letter will encourage us to make friends with students who come here from other nations. The Bible (the source of our Christian faith) says, "The foreigner residing among you must be treated as your native-born. Love them as yourself" (Leviticus 19:34).
Some of our holidays are directly related to the Christian faith, such as Christmas (commemorating the birth of Jesus) and Easter (celebrating the resurrection of Jesus from the dead). Others are secular, remembering events in our nation's history (such as July 4, marking the beginning of our independence).
Thanksgiving is somewhat in between, and is set aside each year by Presidential decree as a time to be thankful for our blessings as a nation. Not everyone in America is religious or Christian (as you'll discover), but those of us who are see Thanksgiving especially as a day to thank God for His goodness to us. The Bible says, "Give thanks to the Lord, for he is good; his love endures forever" (Psalm 107:1).
As we observe Thanksgiving next week, may it be a time of reflection for each of us, recalling the blessings we enjoy every day -- blessings that come from God's gracious hand. And may it cause each of us (including you) to turn in faith to the living God and discover His great love for us. God has blessed us in many ways -- but most of all by sending Jesus Christ into the world for our salvation.