1. Because beginners will be looking for prepositions (and not yet have been thinking about verbs), I have counted this as a prepositional phrase, adverbial to "think." Perhaps the better explanation is to consider "think of" as the verb (i.e., "remember"), and "anything" as its direct object. Many students will see this when they get to verbs. Ultimately, I would accept either anaysis as correct.

2. Expect errors here. Many students will mark "After everybody" as a prepositional phrase. Point out that, in this sentence, the response to the question "After what?" is not "after everybody," but rather "After everybody went home." Because the answer to the question is a sentence, the construction is not a prepositional phrase. If the students are just beginning their work on prepositional phrases, I would ignore an error like this one on homework and tests. 
     When they are at KISS level three, students will learn that this construction is a subordinate clause. [Teachers might want to mention this fact, but don't push it -- let the students master one level at a time.]

3. I would also accept "at the bottom" as an adjective (or adverb) to "brick" and "at the top" as an adverb to "yellow."