Where is the thesis within a reseach paper. I was told it was the last sentence in the 1st paragrah and then I was told anywhere in the first paragraph.

Anywhere, although commonly the first few sentences are intro to the topic, setting the tone and letting the reader understand where you are going, leading up to the thesis.

It is not anywhere in the first paragraph. You would lose your audience if you did that. KP is right, it is within the first few sentences, sooner than later is best practice.