"That" is the correct word to use in this sentence. "Which" is used to refer to a specific thing from a group of things, while "that" is used to refer to a general thing or to something that has already been mentioned. In this case, we are talking about a specific school, so we should use "that".
For example, if you were talking about your daughter going to school in general, you could say "My daughter goes to school every day." But if you were talking about a specific school, you would say "My daughter goes to that school."