what is the difference

Good morning, Bubu.
I'll try...
"...in the south" -- the south is an area, and Australia is in this area. Without adding any other words, this is the most appropriate English sentence.

"...on the south" -- this construction would mostly be used a little differently, perhaps as, "The city is on the south side of the river." It implies an area also, but an area with a boundary.

"...at the south" -- Again, a little different: "Bubu is at the south end of the field." The implication is a specific location, not a more general area.

With both "on" and "at," you must specify "south of what" -- when you say "Australia is on (or at) the south" your English-speaking listener will wonder "south of what?"

Hope this helps!

It did really help a lot.

Thank you very much.