The first few are possessive pronouns: Our = the possessive for 'We' ; Your = the possessive for 'You' ; Their = the possessive for 'They' i.e. "We gave them our books." ; "You gave them your books." ; "They gave them their books."
'That' i.e. "That thing over there." (referring to something that is not close) 'Those' = the plural form of 'that'
This i.e. "This thing over here." (referring to something that is close) 'These' = the plural of 'this'
When you say 'that,' point to something far away. When you say 'this' point to something close by.
:)