Check the calendar of events to see when it is this year.
"Yes, it's early in the morning, and yes, it's usually pretty cold (it might even snow), but watching the Macy's Thanksgiving Day Parade is something that everyone should do at least once, preferable with (or as) a kid. Even if you've watched in on TV every year, the enormous balloons, the elaborate floats, and the choreography of the marching bands are truly exciting to see in person, and it feels a lot more like a parade without the commentary or commercial breaks. Go early (ie, well before 9am, when the parade starts) and grab a spot on the street. Our favorite viewing spots are on Central Park West, where the streets are a bit wider (the parade starts at 77th Street). Wherever you go, the crowd is pretty deep, but if you've got little kids, they can sit underneath the police barriers and have a front-row view of the parade going by. You can't bring folding chairs, but hot chocolate is a must." - The Best Things to Do In New York