Learn Italian: Lui non è triste.

In Italian, the negative word non always goes immediately before the verb. So instead of saying 'He is not' (Lui è non - which is incorrect), you literally say 'He not is' (Lui non è).

Do I always have to use Lui in this sentence?

No, you can just say Non è triste. In Italian, the verb è already tells us it means 'he is', 'she is', or 'it is'. You only use Lui if you want to emphasize that he is not sad (perhaps someone else is), or to avoid confusion if the context isn't clear.

Since lui (he) is masculine, why doesn't the word for sad end in -o (like tristo)?

Most Italian adjectives end in -o for masculine and -a for feminine. However, triste belongs to a second group of adjectives that end in -e. These adjectives use the exact same form for both masculine and feminine singular. So, 'he is sad' is Lui è triste, and 'she is sad' is Lei è triste.

Why does the verb è have an accent mark?

The accent mark shows that it's the verb meaning 'is' (from the verb essere, to be). Without the accent, e means 'and'. The accent helps tell these two very common words apart in writing, and reminds you to pronounce è with a slightly more open sound.