Where do I buy a Thermal Release Device for a GE Hot Water Tank.

Define Thermal Release device.

Do you mean a T&P (Temperature and Pressure) release valve?
Why are your asking this question on the Heating and Air Conditioning page? More of a plumbing question.

Anywhere that sells plumbing supplies near you. Just Google the make and model number and look under parts. Walk in or order online. They will also give the proper name for the part you are looking for. If you need further assistance just ask.