There is used when you refer to a place. It is an adverb; it is the opposite of 'here'. It can also be used as a pronoun which introduces a sentence or clause.
Their is a pronoun which is used to show possession. (It is like my, your, our etc. )
They're on the other hand is a contraction of the words 'they are'.
If you have trouble remembering it try these tricks; their has the word 'her' in it which indicates possession. There has the word 'here' in it which means location and they're has an apostrophe in the middle which indicates that it is made up of two words 'they are'.
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