Demonstrative pronoun:
I like those/these girls over there/here.
Why is that/this girl still crying?
(These and this are used when something is closer to the speaker, those and that for farther away.)
Relative pronoun:
Parrots that ask questions should be fried and eaten. (for things or persons)
Your mother, who eats parrots, is rather silly. (for persons)
I like red books, which are easier to spot. (for things)
Conjunction:
I told her that I was not happy to see her.
This is by no means a complete overview; Google for pages on the different pronouns.