Webster 1913 so kindly told us what thickening
is, here is how you make it:
Start with corn starch, potato starch, flour, tapioca, arrowroot, or some other starch product.
Add cold water, broth, milk, or whatever, stirring constantly, until you get a nice, smooth mixture.
Stir this mixture into the sauce/liquid you are trying to thicken
Repeat the previous two steps until the stuff you're trying to thicken is thick enough. (it usually doesn't take too much starch; a tablespoon or two should do the trick.)
Important! Do not add the starch directly into what you want to thicken, for this shall cause lumps! (well, I guess if you want to make lumps, and I will admit, they do add an interesting texture to stews, they you should skip the cold water part)
As for the choice of what starch to use, probably the most common one is corn starch, but apparently potato starch and arrowroot don't make their mixtures as cloudy, and have better properties when reheated. Try not to use plain old flour though; it just doesn't work as well at all...