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Your GE PE40M09AAH Water Heater incorporates the use of a Type–59T Therm-o-disc Thermostat.
Here is a copy of your wiring diagram.
Here also, in the event that it might be convienient for you to have a copy of your owners manual stored on your computer, is a link to where you may download a copy of your owners manual.
This question has now gone from me simply providing a diagram to explaining how to wire it. Though I do indeed know the answer to your question, I am not "Verified" in the electrical category with JustAnswer and thus need to now refer your question to one of our experts who is. Please stand by and a verified electrical expert will be along before too very long.
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