Many-electron systems confined at substantial finite temperatures and densities present a major challenge to density functional theory. In particular, there is comparatively little systematic knowledge about the behavior of free-energy density functionals for temperatures and pressures of interest, for example, in the study of warm dense matter. As with ground-state functionals, development of approximate free-energy functionals is faced with significant needs for reliable assessment and calibration data. Here we address, in part, this need for detailed results on well-characterized systems. We present results on a comparatively simple, well-defined, computationally feasible but previously unexplored model, the thermal Hartree-Fock approximation. We discuss the main technical tasks (defining a suitable basis and evaluation of the required matrix elements) and give an illustrative initial application which probes both the content of the model and the solution techniques: a system of eight one-electron atoms with nuclei at fixed, arbitrary positions in a hard-walled box. Even this simple system produces physical behavior different from that produced by simple ground state density functionals used at finite temperature (a common approximation in the study of WDM).