Demonstrative pronouns (this one, that one, the one[s], these, those) refer to a previously-mentioned noun in a sentence. Italian demonstrative pronouns are more complicated than their English counterparts, because there are two different sets and because they must agree in gender and number with the noun they replace.
A direct object is a noun, whether person or thing, that someone or something acts upon or does something to. In both Italian and English, direct objects are often replaced with direct object pronouns: me, ti, lo, la, ci, vi, li, le.
The distinction between tu and Lei is one of the most confounding aspects of Italian, and one of the most basic. The influence it has on verb conjugations and pronouns is considerable, but more than that, the choice of tu or Lei is a matter of etiquette.