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The easiest way is to start with a ready-made, free polygon. I like Natural Earth data as it is free with no restrictions on data. There are lots of different maps there. For your use I would recommend starting with Admin-0 Countries, Download countries. Then filter your input data by "USA" on field SOV_A3. Depending on your needs, you may need additional filters to get to the right polygon.
If you are licensed to use the Business Insights data, you can use the Allocate Input tool to get you a spatial object for the entire US. If you don't have this (or not sure what if you do or don't), the option @T_Willins is definitely going to be your best bet.
The attached package contains the SHP file (and supporting files) which I downloaded from that site. I have this setup to only show the 48 contiguous states, and mentioned in the tool container. If you want all, including territories, delete that container.