"that" vs "what"

Hi everyone!
I have a Russian friend who constantly confuses the usage of "that" and "what" when he speaks English. For instance, he'll say something along the lines of "he said what you know what it means". He finally told me that he has no idea when to use "that" and when to use "what". While I understand where he's coming from with this problem, I can't think of a satisfactory answer for him. Can anybody help me with a simple explanation of how you'd use these two words? Everytime I come up with a possibly good solution, I think of a number of exceptions to my new "rule".

Thanks in advance!