Use of WHAT and THAT is quite confusing; it’s so hard to choose between WHAT and THAT as they are so similar in meaning. When there is a noun after a clause we use THAT, when there is no noun at the end of a clause we use WHAT; e.g.

a) Did you see the message that she wrote? (MESSAGE is a noun, so our choice will be THAT, not WHAT.)
b) Did you see what she wrote? (SEE is not a noun, so our choice will be WHAT, not THAT.)

NOTE: But if both the clauses are independent clauses we connect them by using THAT, not WHAT. An independent clause is one that can be used alone without being connected by another clause; e.g.

I didn’t know that you play the guitar so well.

(This sentence has two clauses namely I DIDN’T KNOW and YOU PLAY THE GUITAR SO WELL. We see that if we write the clause I DIDN’T KNOW alone it’s making a proper sense; likewise the clause YOU PLAY THE GUITAR SO WELL is also making a proper sense if written alone, so both are independent clauses.  As both are independent clauses you can’t connect them by using WHAT, you’ll have to use THAT rather.)

For more chapters/topics on English Grammar read the following book authored by me.

Link for buying the above book

For English Practice Sets on various topics read the following book authored by me.

Link for buying the above book