Pensar en [algo/alguien] means to think about something. Here preposition "en" is needed. For example: "Estaba pensando en ti" (I was thinking about you), or "¿Estás pensando en las próximas vacaciones?"(Are you thinking about next holidays?)
However we can also use verb pensar followed by an infinitive. For example:
"Mis padres piensan comprar un apartamento en la playa". (My parents have the intention of buying an apartment on the beach.). As you can see, here the meaning is different. It talks about a plan that has been made, an intention to do something. We don't use any preposition here.
I hope this is what you are referring to and clarified your doubt. I can't see which lesson this is linked to. If you are referring to something different please let us know.
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