"In order to" "So that" and other similar

Can someone explain to me or refer a link to me about word groupings such as "in order to" and "so that"? I am a little confused on what they are (conjunction?) and the roles that the individual words in them play. For example, with "so that", "so" can obviously be a conjunction by itself, but what about "that"? What role does it play? Is it just two conjunctions grouped together?