Theft: an unlawful taking of property
Robbery: taking of property from a person by violence or threat
Burglary: the entering of a property with the intent to commit a crime
See the difference? A robber takes your wallet from you; a burglar breaks into your home; and they are both thieves if they successfully take something.
Hopefully you won't have to use any of these words in your personal life anytime, but in case you do, at least you'll be using the correct term!