Should I use italics and different typefaces for foreign words, file names, class names, variable names, etc. in a master's thesis
How do I write those terms ? (Maybe in Italic.)


No, don't write every occurrence of a technical term in italic, or you will make your readers sea-sick. 

Treat those terms as you would treat any French technical term, and possibly use italics just on the first occurrence, where the technical term is defined or introduced.

Even though it's not a French style manual, I think it's worth reading what the Chicago Manual of Style, 16th edition, writes on the topic:


  Italics for unfamiliar foreign words and phrases. Italics are used for isolated words and phrases in a foreign language if they are likely to be unfamiliar to the readers [...]. If a foreign word becomes familiar through repeated use throughout a work, it need to be italicized only on its first occurrence. If it appears only rarely, however, italics may be retained.


The sentence


  If a foreign word becomes familiar through repeated use throughout a work, it need to be italicized only on its first occurrence.


aptly applies to your thesis work.

As for your last point,


  I want the reader to distinguish between a variable name, a file name, a class name ...etc. by only looking how the word is written.


In books, authors frequently distinguish code snippets by using monospaced fonts, but I would avoid using too many different typefaces (or too many colours) to highlight different syntax elements. I suggest you to have a look at the LaTeX package listings and to ask on TeX - LaTeX Stack Exchange for further information.