。
She didn't think so.
Literal
She [topic-は] so didn't-think.
The polite past negative of 思う ('to think') is 思いませんでした — built by stacking ~ません (polite negative) onto the verb stem and then adding the past-tense でした auxiliary. Compared to the plain past negative 思わなかった, the ~ませんでした form sounds noticeably more formal — appropriate for talking to a superior or in any setting where the desu/masu register is expected. そう ('so / that way') refers anaphorically to a previously stated proposition.