When appropriate use ...

What is the difference between this words? when should I use?

Well = this word is both an adverb and an adjective. 

You use it to describe a verb and talk about how someone did something.  For example "He played well." or "They speak well." (here the adverb "well" describes how the action was done) It can also be used as an adjective to talk about being in good health "I am well."  (here "well" the adjective describes the noun (in this case the person "I"))

Fine = can be used in the same way but, as noted above, when used that way people will think that you are less than "well." It gives a feeling of being nothing more than acceptable or even mediocre rather than being really good. 

Good = In spoken English it has become acceptable to say "I am good" when you really meant "I am well," but, historically, it was considered incorrect.  Usually "good" was only used as an adjective to describe nouns such as "It was a good day." or "You have a good job."  For some reason, when describing the senses (sight, sound, touch, taste, smell), you say good and not well.  "THe food smells good." "The massage feels good." "The music sounds good."  

Nice = This word means pleasant, agreeable or satisfactory.  It is an adjective and never used as an adverb.  So you use it to describe things or people but not to describe how something is being done. You would say "You have a nice house." or "You are a nice person."  You can add "ly" to the end of nice and it becomes an adverb.  Then you can say "He smiles nicely." 

And...

Merry= it is a word that refers to festivity and holidays and the joyful feeling that goes with them. It means cheerful and lively. As noted above, we rarely use it outside of Christmas.

Happy= this is just that good feeling that we are all looking for in life. :-) It means showing/feeling pleasure or contentment.  

Sorry for so much information.  Hope that helps!