-As for ''this'' if you are talking about something singular that is near to you, like ... Look at this pen. 

-if that pen is far from you (as if someone holding it and he's away from u) .. i believe you gotta use ''that'' so it'll be like ... Look at that pen.

-when you talk about things in plural which are near to you , you''ll use ''these'' ..Look at these pens. 

- if it's far from you , you use ''those'' .. Look at those pens.

- ''their'' i think it's a possessive .

that's all i can tell you , i hope it's useful for you. :)

You use this/ that/ these /those  when pointing to things. (Demonstrative adjectives/ pronouns)

This/ that= close/ far Singular object  

These/ those= close/ far Plural objects

There is for talking about a place farther away than "here". 

Their is a possessive adjective.  This is their house.