As the author of your thesis or dissertation, you own the copyright to your work. While copyright law does not require including a copyright statement, it's a good idea to explicitly state ownership in your document. Include the word copyright (or symbol), the date, and your name:
© 2014 by John Doe
As part of the ETD submission process, you'll grant the library permission to display your work online (in our repository of ETDs), though you can choose to restrict access to the document for a period of time. You can also grant the ProQuest company permission to include your work in their database of dissertations. Finally, you can choose to formally register copyright for your document.
You must either obtain permission to use copyrighted materials in your thesis or dissertation or decide that the use falls under fair use guidelines. You'll either include the written permission or a fair use checklist as part of your ETD for each use of copyrighted work. See Getting permission: how to license & clear copyrighted materials online & off (ebook) for tips on obtaining permission from copyright holders.