Expressing "this" and "that" can be done as in the following example, but note that there appears an extra word that one might not have expected, this is a so-called Measure Word（量词,liang4 ci2） and is a very important feature in Chinese Grammar:

这所大学 (zhè suǒ dà xué) - Literal: This [量词] university - This university
那所大学 (nà suǒ dà xué) - Literal: That [量词] university - That university

In this case the measure word is 所 (suǒ), but there are numerous Measure Words, each can be used with a specific category of words. Those will need to be learnt by heart. However, there is a measure word that Chinese people use when they conveniently forget the right one: 个 (gè).

The use of such measure words is obligatory in many cases (such as this one).