WordPress.org

I see the choose thumb window right of my 'write post' screen, but It says 'Choose thumbnail for post' . And there is no thumb below this.

You have to attach images to your post: first icon after Upload/Insert in the "Edit Post" view.

WordPress generates a thumbnail based on those images automatically.

If you have uploaded the images it is best practice to publish your post first.

Click the "refresh" link in de WP-Choose-Thumb sidebar window.

Afterwards the thumbnails will automatically appear in de sidebar window.

How can i change the thumbnail size

You can define the size of the generated thumbnails here: http://yoursite/wp-admin/options-media.php