As has been touched on in the comments to this answer, "structure" and "conception" are not precisely defined terms in psychology. They do have meaning, but researchers will differ in how they conceptualise them.
This would be my interpretation
Structure of a psychological study
The structure of a study sounds broadly synonymous with the "method". I.e., all the details of how data was collected and potentially how it was analyzed. That said, "structure" does suggest something more general. I.e., often we think of the structure as the broad elements on which the details sit. From this perspective, the design of the study and possibly the measures hint more at structure. For example, is it longitudinal or cross-sectional? If it is an experiment, how many between and within subjects factors are there? Was there random allocation to groups, etc.? What was the order of measures? These are all features that you might use to describe the broad structure of a study.
Conception of a psychological study
Conception, in this context, generally refers to the process by which a study comes into existence. I.e., how does the research go from having no study to have a study.
There are many ways of doing this. One approach is to read the literature, identify a gap or topic of importance, come up with a research questions, and consider practical and useful study design that might contribute knowledge about that research question.
Other times, you might be working in an established paradigm, and the methodology itself might be tightly linked to the research questions that you choose to explore.