How should you start an essay about a short story?

with a grabber you should always start with a grabber

You should define the scope of your essay. Tell the reader what the essay is going to be about and the limitations that the essay will have.

For example:

I will compare and contrast the different means of character development in the epic poems of the ancient world. This will be a Long essay. In fact this might be a series of books around about the size of the encyclopedia.

The differences between Merry and Pippin in Lord of the Rings are few. In fact the reader might be hard pressed to find any distinguishing characteristics as the sole purpose of these two characters is for them to talk to each other and provide the reader with information. This would be a short essay.

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An essay should first start with a thesis topic and then a thesis statement.

The thesis topic defines the general subject that the essay will talk about.

eg. The political career of Justin Banks encompasses fifty years...

The thesis statement defines the particular thing that the essay will be about - will focus on.

eg. ... but it wasn't until he chose to champion the cause of monetary unity that he acquired any facet worthy of historical note. The interest first arouse in him in ....

In the particular case of a short story...

Pride and Prejudiced is the story about being a girl of marriageable age in Napoleonic era England. To cover this topic thoroughly Jane Austin chooses a family of five girls -- the Bennet family, consisting of Mr. & Mrs Bennet of course, and Anne, Elizabeth, Mary, Lydia and Kitty. [thesis topic] Each of these girls are meant to represent a certain unique facet of 'being a young women' and each are worthy of a discussion in their own right (excepting perhaps Lydia and Kitty who are very much alike). [transition] In this essay however, we will focus in on Mary who typifies the stereotypical 'blue stocking' female of the age. [thesis statement]