Please, what's the difference among yelling, shout and scream? could you give me any examples

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They all mean to use a very loud voice. I think you can usually use them interchangeably but there are times where one will be more common than the others.

If you know the answer, just shout/yell it out.

I am standing right here. You don't need to shout at me, you can just speak normally.

My dad yelled at me because I forgot to take out the trash. (Sometimes yelling can mean scolding in an upset, angry way even if it is not really a loud shout.)

He was so scared at the haunted house that he screamed out loud.

The roller coaster was so exciting and thrilling that we screamed the entire time.