Relative pronouns relate subordinate clauses (clauses that cannot stand alone) to the rest of a sentence. Words like that, which, who, and whom are examples of relative pronouns.
Demonstrative pronouns stand in for a thing or things, and we choose these words based on how close these things are to us. For things that are nearby, we use the pronouns this and these. For things that are far away, we use the pronouns that and those.