Do I have to stop thinking when I meditate? 

 No, the point of meditation is to get better at focusing your attention.

For example, if you're doing a breathing exercise, you will try to focus only on your breath. The habitual state of the mind is to wander, so in the beginning you will have trouble focusing. But over time, you will gain better control over where your attention goes.

It is important not to get frustrated when the mind wander while you are meditating. This will happen and is normal. In fact, becoming aware of your mind wandering and then bringing it back to your point of focus is often the main activity of a meditation session. The thoughts will continue, but you will spend less time caught up in them.