Melt is to become liquified by heat.
Example: I melted two bars of chocolate for this mousse.
Thaw is to become softened (and eventually liquid) as the result of warming. Example: The river thawed and barges of food began to reach the capital.
Any good online or paper dictionary will provide you with dozens of examples of how you might use these two words. Sometimes they are interchangeable, sometimes they are not.
NB: There are several examples in scientific domains where they are strictly not interchangeable.
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