Questions & Answers about Я часто думаю о ней.
Because думать in the sense of to think about someone/something normally uses о + the prepositional case:
- думать о ком? = to think about whom?
- думать о чём? = to think about what?
The pronoun она changes form after о, so:
- она → о ней
You cannot say о она, because Russian pronouns change form after prepositions.
You also do not use её here, because её is a different case form.
Ней is the prepositional case, singular, feminine.
In this sentence, the pattern is:
- о
- prepositional
So о ней means about her.
A useful memory trick is to learn the question word with the preposition:
- о ком? = about whom?
- о чём? = about what?
So if you think думать о ком?, it becomes easier to remember why ней appears here.