How can I assign the same drive letter for any USB thumbdrive connected?

As previous answer suggests; there is no way to do this within Windows, though a 3rd party tool USBDLM will do exactly this.

http://www.uwe-sieber.de/usbdlm_e.html

You can edit the .ini file for various customization regarding drive letter assignment based upon certain criteria.

e.g. FireWire drives at F, USB drives above 10GB at U, all other USB drives at W or Z:

;FireWire at F:
[DriveLetters]
BusType=FireWire
Letter=F

;USB >10GB at U:
[DriveLetters]
MinDriveSize=10GB
Letter=U

;all other USB drives at W: or Z:
[DriveLetters]
Letter=W
Letter=Z  

For more information see the html help article for USBDLM:
http://www.uwe-sieber.de/usbdlm_help_e.html#by_criteria

"So any usb drive I connect stays in the same letter?"

No this is not possible for any usb drive you may encounter, Windows automatically assigns drive letters unless it is a device it has seen before and you have assigned a drive letter to it previously using Disk Management. Sometimes this does not work either if that drive letter is being used by another device (for what ever reason) when you plug in the one you assigned the same drive letter.

By automatically I mean Windows chooses the next available drive letter down the alphabet string that is not being used.

No way to force it assign M every time on a usb device it has never seen before. This would be a bad idea if another device is already using M when you plug in another.

All this being said, you can manually assign M (in disk management) to any usb storage device, once you manually assign it M, Windows will remember that particular device and assign M automatically if no other device is using that letter when you plug it in.