The English word that has three different functions, which are expressed by three different words in Danish:
1) That may initiate a phrase expressing the object of verbs like to say, to reply, to think, to dream, to shout etc. :
He said, that he keeps his umbilical cord in a jar in the freezer.
(Han sagde, at han har sin navlestreng i fryseren)
At is often left out after utterance verbs as siger, mener, synes, tror, fortæller etc. - especially in spoken language, where the tone will indicate the meaning. But if you're in doubt then write it.
2) That may initiate a relative clause that describes or defines an element of the main clause:
The jar that he keeps in his freezer gives me the creeps
Glasset, som han har i sin fryser, giver mig myrekryb.
Som may be left out if it's not the subject of the subordinate clause.
3) That may serve as demonstrative pronoun, pointing out or referring:
What would happen if that jar fell into the hands of a mad genetic engineer? That could be dangerous!
Hvad ville der ske, hvis det glas faldt i hænderne på en gal gensplejser? Det kunne blive farligt !
Choose at, som eller den/det in the drop down list. Choose (at) or (som) if the word may be left out. (counts as alternative answar: at or som without parenthesis will be OK as well).