what grammatical structures in this word 考えなさんな?

なさんな is basically a shortened form of なさるな. なさる is an honorific version of する, and な is a negative imperative particle. It follows this generic pattern. There is no progressive -teiru in this sentence.

そう難しく考えなさんな
(Please) don't think about it too hard.

But please note that uncontracted なさるな sounds like a samurai in historical dramas. We almost never say it in modern Japanese, just as we almost never say なされ (we say なさい instead). So it may be better to think なさんな is now a fixed expression, as the links in the comment section say. In general, なさんな sounds fairly colloquial and old-fashioned.