"There" or "Their" or "They're":

There is used as point of reference. Example: "Go over there and wait for me.

There may also be used in a passive sentence. Example: "Waiter, there is a fly in my soup."

Their shows a possession by more than one person. Example: "Brian and Shelley showed their new bicycles to their friends."

They're is the same as writing "They are". Example: "They're going to the park after breakfast."

Article from http://www.aboutschool.com/6english.htm (December 28th 2007)