"On the news" means that it has been shown on a T.V news broadcast. This can also refer to news on the radio or internet, such as NPR.
"I saw a famous singer on the new last night."
"The president was on the news yesterday."
"Uncle Joe is going to be on the news tomorrow, for saving a child from a burning building!"
"There is never any positive stories on the news. It's always so depressing."
"in the news" is more general. It means that it (whatever you are spacing about that is "in the news") has been noteworthy or newsworthy, and has been expressed on the news. It can also mean that you read it in a newspaper.
for example:
"I heard about the death of that famous singer in the news yesterday."
You: "Do you know what I read in the news yesterday?"
Your friend: "No, what was it?"
You: "A famous singer died yesterday! I was so shocked!"
Your friend: "I heard that the economy has been really bad lately."
You: "Yeah, it's been in the news a lot lately."
"at the news" is more reactionary. "at" is used in the same sense here, as it typically is. Your right, it expresses "when I heard the news".
For example"
"I was so surprised at the news last night!"
"I laughed at the news."
"Many people expressed shock at the news that he died suddenly."
It can also mean you work at the place where the news is broadcasted. For example:
"When I used to work at the news, I had to come in early every morning" "the news" here would refer to "the news station".
I hope that helped. :]