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... why are you here if you know how to use 'jealous' correctly?