Out of curiosity I looked up その in a monolingual dictionary, the first thing I
see Is ［連体］《代名詞「そ」＋格助詞「の」から》What on earth is a "case marking particle"? Is
this the の particle that simply means "of"?

So, if I were to translate it literally, a phrase like その上 would mean "above
of that" "on top of that" while "その人" "person of that" Sounds like complete
gibberish to me when I try to think of it that way though.
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particle-の demonstratives
concerning あ こ そ words
A 格助詞【かくじょし】 or "case-marking particle" is a particle that attaches to a noun
form to mark how the word relates to the rest of the sentence or clause. There
are several, including ～は, ～が, ～を, etc.

～の is a confusing one because there are _several **different** particles_ all
pronounced 「の」, but in this case, I believe it marks the genitive case,
generally used for possession.

In this particular case, the given analysis of 《代名詞「こ」＋格助詞「の」から》 is only
applicable to Old Japanese, as 此【こ】 -- originally a pronoun (代名詞【だいめいし】) -- is
no longer used by itself.

Now, この, その, あの, and どの are simply fully-fledged pronouns. (Incidentally, this
is all basically true of the other suffixes originally attached to these
pronoun bases, including これ, ここ, どっち, etc.)
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Here's the skinny. あ, こ, and そ are each technically pronouns on their own.
Usually we see them in conjunction with a particle. In this case, it's
connected to the case marking particle
([格助詞](http://ja.wikipedia.org/wiki/%E5%8A%A9%E8%A9%9E#.E6.A0.BC.E5.8A.A9.E8.A9.9E))
"の". A case-marking particle is a particle that indicates the [grammatical
case](http://en.wikipedia.org/wiki/Grammatical_case), or basically the
function of the thing it's modifying. So for example の can mark the genitive
case (私の本 = _my_ book). に can mark the locative case (日本に住んでいる = I live _in_
Japan). を can mark the accusative case (ボールを投げた, where ball is the _direct
object_ ). The wikipedia page talks about all the cases pretty clearly, and if
you want to venture to the Japanese page on 格助詞 you can. At the very least you
can see a list of the case marking particles.

So in あの・この・その we have our pronouns plus our case marker の. This forms what is
called a
[連体詞](http://ja.wikipedia.org/wiki/%E9%80%A3%E4%BD%93%E8%A9%9E){れんたいし}, or a
prenominal adjective. As you may be able to guess, it's an adjective that
comes before a noun. This ~の form of 連体詞 is basically its own class that is
the form of noun + 格助詞「の」. As per wikipedia: "本来は「名詞」+格助詞「の」だったものが多い。"

That might be a little more technical than what you want to hear. A shorter
version is that yes, it is the "の that means 'of'," but you may want to stop
trying to think of it in terms of its rough English translation, because it's
exactly that: rough. It does not have the exact meaning of "of." You can think
of it in terms of having that genitive kind of possessive-ish meaning, but try
to separate it from English if you can. その人 isn't "person of that," but it's
the pronoun そ _which is modifying_ 人 in the genitive case. So which person?
That person, the one I'm connecting to そ. In English we usually refer to の as
a 'noun modification' particle, at least in educational materials I've seen,
so try thinking of it like that. Sorry if it's hard to make the connection,
but I hope you get it!

Ultimately, this grammatical distinction isn't _that_ important. You won't see
そ or あ or こ on its own as a pronoun anywhere, and I would assume nobody aside
from linguists would actually think of them in terms of their constituent
parts. For all intents and purposes, they are their own words that just happen
to have a more grammatical history.
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