'There' is used when we are talking about a place.
You're going on holidays to Mexico? I always wanted to go there.
Where did I put my bag? -It's over there.
'Their' is used to talk about something that is owned by a group. We use it to indicate group possession.
That family is so nice, their children are always so polite and well behaved.
I love that place, their food is always so good!
And they're is a contraction for 'they are'.
My professors are great, they're so helpful when I have questions.
I love visiting that company, they're so welcoming.