The first line is "If I don't think about the fact that you left me", not "she left me"; the entire song is a dialogue and Prince talks to her in Second Person ("You will go before me" not "she will go before me"). "She" or "her" are examples of Third Person and Prince stays consistent.
A correction in the lyrics:
The first line is "If I don't think about the fact that you left me", not "she left me"; the entire song is a dialogue and Prince talks to her in Second Person ("You will go before me" not "she will go before me"). "She" or "her" are examples of Third Person and Prince stays consistent.