Learn French: Vous devez résoudre cette énigme, alors pensez-y ! - You must solve this riddle, so think about it!

The verb penser takes the preposition à when you are thinking about a topic or object. Since the riddle is an inanimate thing, we replace à cette énigme with the pronoun y.

Why is y attached to the end of pensez instead of going before it?

Pensez-y is a positive command. In affirmative commands, object pronouns always move to the end of the verb and are attached with a hyphen. In a regular statement, the pronoun would come before the verb, like vous y pensez.

Could I say pensez de ça to mean 'think about it'?

No. When you are focusing your mind on a problem or a fact, you must use penser à, which pairs with y. You only use penser de when asking for or giving an opinion on something.

Why isn't the verb résoudre conjugated?

It directly follows the conjugated verb devez (from devoir, meaning must). In French, when an action verb directly follows another conjugated verb like this, the second verb stays in its infinitive (dictionary) form.