We must consider that problem with cultural differences in mind.
Literal
We [topic-は] culture [possessive-の] differences [object-を] consider-[doing-して] that problem [object-を] think must.
考慮して is the て-form of 考慮する (to take into consideration), used as an adverbial clause: 'while considering cultural differences.' ~なくてはいけない is another obligation variant of ~なければならない.