Learn Italian: Non hanno paura. - They are not afraid.

In Italian, you don't say you are afraid; you say you have fear (paura). That is why we use hanno, the "they" form of the verb avere (to have).

Where is the word for "they" in this sentence?

The word for "they" (loro) is left out here. In Italian, you can usually drop the subject pronoun because the verb form (hanno) already tells you exactly who is doing the action.

How do I pronounce the 'h' at the beginning of hanno?

The letter 'h' is completely silent in Italian. You pronounce hanno exactly as if it were written "anno". The 'h' is only there in writing to tell it apart from the word anno, which means "year".

How does the negative word non work here?

To make a sentence negative in Italian, you just place non directly in front of the verb. There are no extra words needed like "do" or "does". Hanno means "they have", and non hanno means "they do not have".