In reported speech, the correct form to convey Robby's statement is:
Robby said that they went to the cinema.
This option maintains the correct tense.
The other options are incorrect for the following reasons:
Robby said that they had gone to the cinema. - This could be correct if the context indicates that this action occurred before another past action, but without that context, it's not the most straightforward transformation.
Robby said that they had went to the cinema. - This is incorrect because "went" is the simple past form, and it should be "gone" when using the past perfect ("had gone").
Robby said that they have gone to the cinema. - This is incorrect in this context, as "have gone" suggests a present perfect tense, which doesn't fit with the reporting of a past action.
So, to directly convert Robby's statement while maintaining the past tense, you should use:
Robby said that they went to the cinema.