This video explains how ci works in this sentence.
I think the "pensare a qualcosa" means to think about something (rather than to think something). ci as a pronoun replaces "a" plus a noun. That's why it often refers to places, but here it is capturing the "about" part. So if you used "lo" here it would mean "I don't want to think it" instead of "I don't want to think about it". I'm not at all a native speaker, but this thread backs up what I'm saying: http://forum.wordreference.com/showthread.php?t=1206980 I try to remember: to replace "a + something" use ci, to replace "di + something" use ne.
I too thought this. I can understand why "it" is correct, but not sure how I would say this for "us" without saying it the same exact way. Would love to hear the difference. The infinitives are easy compared to all of the other side things around pronouns and clitics and the like in this lesson. I may never finish :)