The word "THAT" is used to speak about something or someone specific and can be used to express distance. For example: "That chair there" compared to "This chair here". "That girl" or "That boy". If the word THAT is not speaking about something specific, or the topic/subject is already understood (or can be understood by the sentence, it does not have to be in the sentence, but it can be used. For example: "I understand the possibility of being accepted in this school is slim (small)". "I understand that the possibility of being accepted in this school is slim (small)". Una buena pregunta.

Si, me gusta la respuesta de Stacee. Otro vinculo para explicar mas... http://menuaingles.blogspot.com/2009/04/cuando-usamos-that.html