Imagine you're talking about something you just mentioned and don't want to repeat its full name. Many languages simply attach a pronoun to the preposition, as in I think about it or I'm waiting for it. German follows the same basic idea but handles it very differently, with one strict rule to internalize from the start: the sharp distinction between referring to a person and referring to a thing.
When what you're referring to is a person, you use a normal preposition plus a personal pronoun, exactly as you already learned: für ihn (for him), mit ihr (with her), von ihm (from him). Nothing new there.
But when what you're referring to is a thing, an idea, or a topic and not a person, German blocks you from combining the preposition with es or das. Instead, it fuses the preposition with the prefix da- into a single word: dafür, davon, damit, darüber, daran. These fused forms are called pronominal adverbs (Pronominaladverbien).
One small pronunciation rule: if the preposition starts with a vowel, such as auf, an, in, über, or unter, an extra -r- is inserted for easier pronunciation: da plus auf becomes darauf, not daauf.
The same pattern shows up in questions. Asking about a person uses wen or wem with the preposition, like Für wen? or Mit wem?. Asking about a thing uses a fused form starting with wo- or wor-: Wofür? Womit? Worüber? Woran?
One key point for mastering this: many German verbs are permanently paired with a specific preposition that has little to do with its literal meaning, and the pair must be memorized as a single unit, much like a fixed expression: warten auf (to wait for), denken an (to think of), sich freuen auf (to look forward to), sich interessieren für (to be interested in), sprechen über (to talk about). If you want to ask someone what they're waiting for, translating what literally won't work — you need to know that warten pairs with auf: Worauf wartest du?
The most frequent error is using es or das in place of the pronominal adverb when talking about a thing — a sentence like Ich denke an es sounds distinctly odd. The correct form is simply daran: Ich denke daran.