その is classified as a ‘pre-noun adjectival’ in Japanese. These are a special type of word that do not conjugate. This means that they will always appear in the same form.
その comes from the same family of words as
それ and
そこ, and is used to identify a ‘thing’ that is near the listener.
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そのパズルは難（むずか）しい？
Is that puzzle hard? (If a sentence finishes in a rising tone, questions markers like ですか may be dropped in casual speech)
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その話（はなし）は絶対（ぜったい）嘘（うそ）でしょう。
That story is definitely a lie.
As the name ‘pre-noun adjectival’ suggests, these words will always appear before a noun, and describe that noun in some way.