Ils y pensent depuis longtemps, et ils vont en parler à leurs amis.

Here y does not mean there in a literal place sense.

With penser à, French often replaces à + thing/idea with y:

• penser à quelque chose = to think about something
• y penser = to think about it

So Ils y pensent means They are thinking about it.

Fuller versions would be:

• Ils pensent à cela
• Ils pensent à ça (more informal)

So yes, y can sometimes mean there, but in this sentence it stands for à it/about it.

This is a very common question because English uses think about and think of in several ways.

In French:

• penser à = to think about, to have something in mind
• penser de = to think of, in the sense of to have an opinion about

So:

• Ils pensent à ce problème = They are thinking about that problem.
• Que pensent-ils de ce problème ? = What do they think of that problem?

In your sentence, the meaning is they have this thing in mind / they are thinking about it, so French uses penser à, which is why y appears.

Usually, no.

Y normally replaces à + thing, à + idea, or sometimes à + place. It does not normally replace à + person.

So:

• Ils pensent à leur projet → Ils y pensent
• Ils pensent à Marie → Ils pensent à elle
  not normally Ils y pensent

This is an important rule for both y and en: they usually replace things or ideas, not people.

En replaces de + thing/idea.

The verb pattern here is:

• parler de quelque chose à quelqu'un = to talk about something to someone

So:

• parler de ce sujet → en parler
• Ils vont en parler = They are going to talk about it

A fuller version would be:

• Ils vont parler de cela à leurs amis
• Ils vont parler de ça à leurs amis (more informal)

So in this sentence:

• y = about it / of it after penser à
• en = about it / of it after parler de

Even though both become it in English, French uses different pronouns because the prepositions are different: à → y, de → en.

Normally, no, not in standard careful French.

For people, French usually keeps a stressed pronoun after de:

• Ils parlent de Paul → Ils parlent de lui
• not usually Ils en parlent if en clearly means Paul

For things and ideas, en is the normal replacement:

• Ils parlent de ce plan → Ils en parlent

So, as a general learning rule:

• y and en usually replace things, ideas, or places
• for people, use forms like à lui, à elle, d’eux, de lui, etc.

Because en belongs to the infinitive parler, not to vont.

French pronoun placement works like this:

• With a simple conjugated verb, the pronoun goes before the conjugated verb:
  Ils y pensent
• With a construction like aller + infinitive, the pronoun usually goes before the infinitive it belongs to:
  Ils vont en parler

Compare:

• Je le fais = I do it
• Je vais le faire = I am going to do it

So:

• Ils vont parler de cela → Ils vont en parler

Because in French, the present tense is used for something that started in the past and is still continuing now.

So:

• Ils y pensent depuis longtemps

literally uses the present, but in English we often translate it as:

• They have been thinking about it for a long time

This is very typical with depuis:

• J’habite ici depuis deux ans = I have been living here for two years
• Elle attend depuis midi = She has been waiting since noon

So depuis longtemps tells you the action has been going on for a long time up to now.

Both are possible, but they are not exactly the same in tone.

• Ils vont en parler = They are going to talk about it
  This often feels more immediate, more planned, or closer to the present.
• Ils en parleront = They will talk about it
  This is a more general future statement.

In everyday spoken French, aller + infinitive is very common.

So the sentence uses a very natural conversational future form.

Because parler can take both:

• the topic: de quelque chose
• the person being spoken to: à quelqu'un

So the full structure is:

• parler de quelque chose à quelqu'un

In this sentence:

• en = about it = the topic
• à leurs amis = to their friends = the listeners

So:

• Ils vont en parler à leurs amis
  = They are going to talk about it to their friends / talk to their friends about it

Because leurs agrees with the noun amis, which is plural.

French possessive adjectives agree with the thing possessed, not with the number of owners.

So:

• leur ami = their friend
• leurs amis = their friends

And:

• ses amis = his/her friends
• leurs amis = their friends

Since the subject is ils and the noun amis is plural, leurs amis is the correct form.