I want to know the part of speech of the words 'those' and 'who' in the following phrase: those who live in urban areas. because some of my students make mistake and write 'who live in urban areas', which is most probably because they think the pronoun 'who' is enough and they should not use the word 'those'.
Those is a pronoun.
Who is a relative pronoun.
Your students are partly right: "Who" can function as a fused relative, though it is far rarer than "whoever". (Also, I can't think of any plural examples: it is usually singular: "Who" = "The one who").
But, unlike the case of what, this is rare, and a literary usage: an example is the title Who dares, wins.
The example you give of what your students write is certainly not idiomatic, and will likely confuse a reader.