Learn Portuguese (Portugal): O enigma é estranho, mas vou decifrá-lo. - The puzzle is strange, but I am going to decipher it.

When you attach a direct object pronoun like o (it) to an infinitive verb ending in -r, the -r is dropped and the pronoun becomes -lo. Dropping the -r from decifrar leaves us with decifra, but we must add an acute accent (decifrá) to maintain the original pronunciation where the spoken stress falls on that final syllable.

Could the pronoun go somewhere else since vou decifrar is a verbal complex with two verbs?

Yes! In European Portuguese, when you have an auxiliary verb (vou) plus an infinitive (decifrar), you can either attach the pronoun to the infinitive (vou decifrá-lo) or to the auxiliary verb (vou-o decifrar). Both are correct, though attaching it to the infinitive is extremely common. You cannot put it before vou in this sentence because there is no 'magnet' word (like a negative word or relative pronoun) to pull it to the front.

I thought words ending in -a were feminine. Why is it O enigma?

Most words ending in -a are feminine, but enigma is an exception. Like many Portuguese words of Greek origin that end in -ma (such as o problema, o sistema, and o programa), it is a masculine noun.