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Second learners of English always use the verb, "steal", to explain any act of stealing regardless of how the action is performed. Although "steal" projects the main idea, it is important you tell how the "stealing" is done by using the right word. This will prevent further questioning from your listener(s) and also project you as one who is well-grounded in the language. Therefore, knowing how to use these semantically-related but contextually-distinct verbs is a great step towards learning the English Language.
To steal means to secretly and peacefully take something from someone without their permission and without intending to return it. This means stealing is done secretly and does not involve violence.
1. That boy had been stealing from my shop.
2. Thieves stole her laptop.

To rob is to take money or property unlawfully from a person or public place in the open by force or threat of force. Robbery is not secret but is done openly and with violence. It's a planned and intended action mostly carried out by ruthless group of people.
1. I was robbed of my phones while returning from school.
2. They robbed three banks before they were caught.

To burgle is to enter or break into a person's house illegally with the intent to commit a crime, especially theft. This is accomplished when the occupants of the house are not at home or are away from the house.
1. We returned from church to find out that our house had been burgled.
2. We were burgled while at Church.

Example 2 simply means that our house was burgled while we were at the church. People cannot be burgled, but their house(s) can be burgled. North Americans use "burglarize" instead of burgle. e.g., We were burglarized while at Church.

To mug is to attack someone violently for the purpose of robbery. Mugging involves threats by the mugger and may either be carried out by one person or more.
He got mugged by three men.

When using either of these verbs, one must consider the situation (that is, the context), the way the "stealing" is done, or the way the item is stolen. If either of these things is not taken into consideration, the speaker is bound to use these verbs inappropriately. For example, a wallet can be stolen but can't be robbed, burgled or mugged. A person can be robbed/mugged but can't be burgled. I have been burgled means my house was burgled. A bank can be robbed but can't be mugged. It may also interest you to know that one who steals is called a thief; one who robs is called a robber; one who burgles is called a burglar; one who mugs is called is a mugger.

In sum, your language speaks volumes of you. Therefore, you should use it wisely and appropriately!