"She is going to think about me."
Translation:Elle va penser à moi.
à always follows penser. Instead of adding another preposition (e.g. de), the french simply use the à that is already there. It makes sense in a way. Just like de always follows souvenir, venir, besoin, beaucoup. You need to memorize or practice a lot to remember which verbs are followed by à, de, or nothing. (and some verbs have other prepositions that follow them.) Just something you get used to after a couple years. Practice, practice, practice. Conversation, speaking in particular, is best: une heure tout le jour.