In English indirect statements are introduced by the word 'that', after which follows a normal conjunction. In Latin, an indirect statement is rendered by an 'accusative and infinitive' construction.
A sentence in direct speech: "The woman is in the street" - "femina in via est"
A sentence in indirect speech: I say that the woman is in the street - dico feminam in via esse
So we see that what was originally the subject of the sentence, 'femina', now goes into its accusative case, 'feminam', and the verb which was originally conjugated, 'est', goes into its infinitive form, 'esse'.