All of them are correct. All of them mean something slightly different. Some of those meanings are slightly more sensible than others, and/or slightly more likely to be true in a certain circumstance. 'nothing we can do with it' = 'we can't use it'. Perhaps we want to use it to make a wall, but we can't use it because it is too heavy. 'nothing we can do about it' = 'we have to accept it'. Perhaps it is in the way. But we can't do anything about it, so we might have to do something else. 'nothing we can do to it' = 'we can't affect it'. Perhaps we wanted to drill a hole in it, but we can't do that if we can't move it. So - all are correct. Perhaps the most likely one is 'do about it', if for no reason that other than this question may have been written by an English teacher, and they are usually not particularly practical, and when faced with a rock, are likely to see it as an obstacle. Sorry - I realise I have probably used language that is a bit too complicated.

It seems 1st one