English uses the word “that” in three different ways. First as a demonstrative pronoun (as opposed to “this”), second as a complimentizer, and third to introduce a restrictive clause. In your example it’s being used as a complimentizer, which is basically like a contraction (it combines two clauses into one sentence). When being used as a complimentizer “that” is typically optional.

When used to introduce a restrictive clause, however, “that” is essential. Compare:

The gun that shot the man was found in the river.

to the incorrect:

The gun shot the man was found in the river.

Whether you use “that” depends on the situation. In your English class, you **do** need to use it.

You use THAT to introduce a restrictive clause , a demonstrative pronoun or a complementizer.

You use that when you are referring to a thing