Happy is a general or overall feeling of good. You have more good feelings than bad ones. Pleased is more specific. You are happy about something specific. You may not be happy with anything else, but at least one thing is good and satisfied one of your feelings. Glad is very much like pleased, but usually a little less personal and more general in its use. That is, if you are pleased or happy because something good happened to someone else, you would be more likely to use "glad". For example, if you got all good grades in your classes, you would be happy. If you got a good grade on your test that you studied hard to pass, you would be pleased. If your friend got a good grade on his test, you would be glad. (Again, any of these words could be used in these examples, but these are the most usual.)

I think that pleased and glad are more polite.