"This is a sad girl."
Translation:זאת ילדה עצובה.
I think you mean what is the difference between זאת and זו. They mean the same thing. The word זו is rarely used in spoken Hebrew.
masculine singular עצוב feminine singular עצובה masculine plural עצובים feminine plural עצובות
This = זאת or זו Girl = ילדה sad = עצובה - In Hebrew, pronouns and adjectives agree in gender and number with what they refer to, and modify. And the adjective always goes after the noun it modifies.
Does that help?