Well, your not alone! Many student have difficulty with prepositions and when or how to use them. And it is a big topic, too big to cover here. You can get simple answers for this from many websites, like EnglishClub.com, and about.com, and so many others. I have some really good lesson ready for this topic but let's see if I can give some simple advice here.
AT: this is used for general locations of place - 'at the theater (park, restaurant, club, gym, zoo, etc)' means somewhere near it but it is not precise about location. You could be on the street or even in a cafe near the location when saying "I'm at the theater." You can get more precise by saying something like I am 'at the ticket booth' but it would still mean you are just somewhere near it.
AT is also used for precise times, like 'I'll meet you at 11:30am."
IN: this is used generally for a location with a defined space and it means inside those boundaries. "I am in the theater." means you are inside the walls that define the boundaries of the theater. In the park (gym, restaurant, etc.). IN can also be used with more abstract boundaries, like 'there are raisins in the pudding,' or 'I got there just in time to catch the last train home.' In can also be used for periods time with boundaries like years and months. 'I'm going to Paris in March. Oh really, I was there in 1999.'
ON is usually used to talk about something that has contact with the surface of something else. "The book is on the table." "The switch is on the wall." "The pillows belong on the couch!" ON is also used with days and dates: "I'll meet you on Friday." "Let's go to you mother's on the 15th."
Hope that helps.