How do I cite a screenshot I've taken of a software program? How to write a proper reference for an image I'm going to use for my thesis?

This image is a screenshot of a software installed on my own PC and I am the one who took it myself. It's not from another website.
You don't need a citation if it's your own creation like the rest of the thesis.  

However, per your comment, it sounds like you included an image but then never referred to it in the text (no e.g. "As shown in Figure 1,"), and the reviewer might want you to fix that.  The image must be relevant to some part of the text. Otherwise, you either have an irrelevant image or the text is missing something important.  

You might also want to be sure you describe what the image is, what the name of the software shown in that screenshot is (and if appropriate, any citation to the software). 

Did you use the figure in a publication (e.g. conference paper)?  If so, you do need to include a citation to that paper. 

If none of those things are what the reviewer is referring to, it may be the reviewer thinks you're using somebody else's image and you can just respond to say it's a screenshot you took.  This might prompt an alternative explanation of what they're looking for.