"Than" is used before the second thing in a comparison. "She is taller than him." "He plays games more often than his sister." Remember not to mix up "than" and "then" because they mean different things. That's a mistake even native English speakers make. "That" is used when making a reference to something else, but the listener has to know what you are talking about. If you hear something, you could say "What was that sound?" If your friend tells you she won the lottery, you could say "That is very lucky." "What" can be used in a few ways. At the beginning of questions, like "What is your name?" When it is used to specify something, like "Do you want to go out for dinner? That is what I want to do." There are more ways to use these words, but these are some very common ways.