“their” and “she” are the pronouns because they are taking place of a noun (meaning a name).
extending for understanding:
so for “she” it’s taking place of a woman’s name. the sentence could also be, for example, “sally told me the house had red shutters and a blue door.” “she” is holding the place of the name sally.
and for “their” it’s holding the place of name of a group of people. this sentence could be, for example, “that’s not the smith’s house at the end of the street.” “their” is holding the place of the smith’s.
