He is requesting what the Emperor wants him to do. Someone's "bidding" is their command, and "thy" is a more intimate (and now antiquated) form of saying "your", reserved for friends and others you are close to. "You" and "your" were originally more formal, polite methods of addressing someone.

It means, "What do you want me to do?"

Basically, "What is your bidding?" or "What is your command?", but in old English (like medieval or Shakeperean English).