I lost thousands of dollars to a scam this year. I heard that I could claim it, but the money was given to me. So, I'm not sure where to start. How do i proceed?

Sorry---theft losses are not deductible on your tax return.   Only losses as the result of a Ponzi scheme can be entered.

If you lost a gift, your net loss is zero, so there is nothing to deduct even if you could deduct a loss.