NASA has helpfully provided a list of spacecraft classifications which covers these terms (and more.)
Rover: a vehicle. There have been 4 rovers on Mars: Sojourner, Spirit, Opportunity and Curiosity.
Lander: any spacecraft that can land safely.
Lander spacecraft are designed to reach the surface of a planet and survive long enough to telemeter data back to Earth.
Some landers are stationary (like the Vikings and InSight), other landers carry a rover (like Spirit and Opportunity). Curiosity is a rover, its spacecraft didn't include a lander: the rover was brought to the spacecraft by a descent stage (sky crane) which dropped the rover, then crashed.
Pathfinder: the name of the first Mars mission that included a rover (Sojourner). You'll see each rover mission being referred to by two names. The Mars Science Laboratory mission includes the Curiosity rover. The Mars Exploration Rover (MER) mission included Spirit, Opportunity and their landers.