Jamieson, Fausset and Brown on 1 Thessalonians 5:18

18. In every thing--even what seems adverse: for nothing is really so (compare Ro 8:28; Ep 5:20). See Christ's example (Mt 15:36; 26:27; Lu 10:21; Joh 11:41).

this--That ye should "rejoice evermore, pray without ceasing, (and) in every thing give thanks," "is the will of God in Christ Jesus (as the Mediator and Revealer of that will, observed by those who are in Christ by faith, compare Php 3:14) concerning you." God's will is the believer's law. Lachmann rightly reads commas at the end of the three precepts (1Th 5:16-18), making "this" refer to all three.