Wikipedia lists that although we both have a holiday with the same name, the roots differ.
The US day became a national holiday in 1863. There were several "Days of Thanksgiving" declared by various presidents before that. The actual date has varied from the last thursday in November to the second last. I think it was Roosevelt who changed it to the second last thursday back in 1939. He wanted to boost the christmas economy, separating the two holidays by an extra week. Some states agreed, some didn't, and Texas took the old and the new holiday

Later, it was declared that the day would be the fourth thursday of November, which is sometimes the last thursday, and sometimes the second to last thursday of November
The original intent of the National Days of Thanksgiving was to give thanks (duh!) for certain events. Some notable ones: the revolution and in 1863, Abe Lincoln in his decree noted that everywhere in the US, outside of the fields of battle, order and respect for the rule of law had remained, on both sides. In other words, instead of utter chaos, life was fairly normal away from the battlefield. For that, he felt that they should thank God.
In Canada, our Thanksgiving has always been more or less tied to the harvest and the United Empire Loyalists. The UELs brought the US version of "giving thanks" with them, but with more religious overtones.
Originally, our Thanksgiving day was 6 November, but many dates were used, and the 3rd Monday of October was the 'most popular'. After World War One, both Thanksgiving and "Armistice Day" were celebrated on the monday in which 11 November fell. In 1931, the holidays were separated and "Armistice Day" became "Remembrance Day". "Thanksgiving Day" for a while was to give thanks in remembrance of our soldiers. After 1957, it became solidified on the second monday in October.
Again, this is from wikipedia, but it sounds good to me.
http://en.wikipedia.org/wiki/Thanksgiving