You will need to purchase the Security Desk and at least 1 Security Camera to place in your store under the 'Devices' tab. Once you have this placed, enter the Security Desk and begin scanning customers by right clicking on them until the bar is filled. Once it is filled, either a check mark or the icon for the achievement will appear over their head. If the icon for the achievement appears you have a thief. Just scan everyone who comes into the store to progress towards this achievement. You can check your progress in the Manager Blackboard under the Statistics section. Once "Analyzed Customers In CCTV" hits 500 you are good.
This achievement will unlock after you close your store for the night after you have scanned your 500th customer.