Difference between "that" and "what"

That
"That" is used to indicate a person, thing, place, etc.

•  That boy over there is very tall
•  I'm not sure if I like this one or that one.

"That" can also be used as relative conjunction.

• The car (that) I drive is old.

What
"What" is used to form a question.

•  What boy?
•  What is your name?
•  What kind of music do you like?

"What" is used when it don't refer to a noun.

•  Listen carefully to what I am saying.
•  Nobody knows what will happen next.