This is one you often see written incorrectly (usually it’s there and their that are confused). All three words sound just the same – a homophone.
However, each one has a very distinct meaning. When in doubt consult your dictionary or style book.
A good proofreader will pick up mistakes such as these but it’s best to get it right in the first place.
To put it simply:
They’re – a contraction of they are. They’re not coming. They’re going shopping. The apostrophe gives it away. An apostrophe in this case means there is something missing.
There – a place, a location. It’s like here but with a t at the beginning. Over there. Put it there. Take it there.
Their – as in belonging to someone. Their coats are in the wardrobe. They’ve taken their keys with them.
To put all three together – They’re parking their car over there.