Learn Icelandic: Þeir þurfa að hjálpa okkur núna.

The verb hjálpa (to help) always forces the person receiving the help into the dative case. As you are seeing in this lesson on dative pronouns, okkur is the dative form of við (we). Because we are using the verb hjálpa, we must use okkur here.

Could I use þau instead of þeir for "they"?

Yes, but it changes who you are talking about. Icelandic has three different words for "they". Þeir is used specifically for a group of only males. If the group is all females, you would use þær. If the group is mixed gender, or if you don't know who is in it, you use the neuter form þau.

Why do we need the word að before hjálpa?

Just like in English, when you use two verbs together (like "need" and "help"), the second verb is usually in its basic dictionary form, called the infinitive. In Icelandic, the word að acts exactly like the English "to" before an infinitive verb. Therefore, að hjálpa translates to "to help".

Why does the verb þurfa end in -a here?