The moon is like the earth and moves and has a shadow and can be cast into shadow. He looks not to religion but to the world around him for explanations of many of the things previously handed over to religion and to myth. He asks about unity of reality in the midst of apparent diversity. He finds in water a way to think about how things can be separate, be individuals, be bounded, have properties of single entities, be many, and yet these things are in an important way not individuals or separate or many at all. Set up as many glasses of water as you like, they are all still water, or maybe capitalized Water.
Water displays the nature of existence.
Now maybe there is something terminally woowoo about his answer, but the question seems a stroke of genius. Heidegger, here we come. Wittgenstein a little later suggests that philosophy is the bumps on the head one gets from hitting the limits of sense. But still, the limits of sense seem open to exploration after Thales in a way they were not before. He gives us the idea that our thoughts can reach further, help us explore beyond where we are, as though we are sending out our thoughts as scouts, or building out of them bridges into the dark.