"Their" is the possessive form for the plural pronoun "they." Example: They used their money on video games.
The word "there" has several meanings. As an adverb it means in, at, or about that place. Example: Place the book there. When used as a noun, "there" means that place. Example: Are you from there, too? When used as an interjection, "there" expresses an exclamation of triumph or relief. Example: There! It is finished.
"They're" is a contraction meaning "they are." Example: They're going to the show.
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