This is a common problem for people learning English, so here's a little lesson to help you out ^^

We'll start of with 'their'

'Their' is possesive, it's used to show something belongs to someone

Example: "Is that their car?" in this case 'their' is possesing 'that car'

Now for 'there'

'There' is used as a direction

Example: "I have never been over there" Where have you never been? 'over there'

And lastly, they're

They're is actually two words which are 'they' and 'are', making it the easiest to remember because it stands out

Example: 'They're going to the movies' Who is going to the movies? 'They are'