For things actually on the road or street (people, cars) - we usually use ON, but we can use IN for city streets.
For things beside the road (houses, park, etc.) - it's safest to use ON - you may hear that British people sometimes say IN, but this is for city streets and only in some areas.
For an address (57 Waterloo Road) - we always use AT.
AT is also used for 'AT the side of' / ' AT the end of' the road.
Hope this helps. Any Qs, just ask!