The Thatched Roof is a slanted building-block looking like it's made of Reet that you can use as a roof-tile or for other purposes (it can be rotated). It can be crafted in your Crafting Menu (default key "Q") or at Crafting Tables (that still exist in worlds created before R22 on September 16th 2015), but only after the crafting-recipe has been unlocked upon taking/crafting a Processor for the first time (which is a starting-recipe currently). By crafting/taking a Thatched Roof for the first time, the recipe for Wood Roofs will then be unlocked.