Envious - Having or expressing desire for something.
Jealous - Fearful or wary of being [replaced]; apprehensive of losing affection or position.
How to use it correctly:
1. Ask yourself what you're supposedly "jealous" about?
2. Do you have whatever this is?
3. If not, you're envious. If you do, well... we're envious of your jealous-usage know-how.