Consider the following sentences. Both are acceptable, but they mean quite different things.

The first sentence implies that ALL of the books are new. The second implies that only the red books are new.

In the first sentence the words "WHICH have red covers" are adding information about the books. They're telling you more about the books than you would otherwise have known.

In the second sentence, the words "THAT have red covers" are restricting the sentence. They're limiting which books we're talking about. Without them, we'd be talking about all the books. With them, we're limited to talking about just the red books.

This distinction leads to a simple rule of thumb for choosing between "which" and "that":

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Use "which" (surrounded by commas) if a group of words adds information. Use "that" if it restricts.
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Here's another example just to make that clear:

The first of these sentences wrongly implies that ALL elephants have big ears. (In fact, only African elephants do. Indian elephants have small ears.)

Ah, you learn the good stuff here don't you? :-)

The second sentence restricts the elephants we're talking about. It thus correctly implies that only African elephants have big ears.

To the total bewilderment of most American readers, I shall point out that they're asking Noddy for a ransom. :-)

Sorry. Couldn't resist!