The second sentence is correct, though we wouldn't normally phrase it that way in English, at least not in Australia. The first sentence is more common. The last two sentences were not correct because you can't use two negatives in English (don't and never).
In English the word "that" is unnecessary in most cases where the Spanish "que" would be necessary. This doesn't mean (that) the sentence is wrong if you add the "that", but it sounds more natural omitted.