If humans intentionally land on Mercury, then presumably they have done so with adequate protection to ensure that they can survive and leave again. However, to answer this question assume that they did not (perhaps imagine that landing on Mercury was the only option in an emergency). In this scenario, there are a number of ways in which the Mercurian environment might kill the travelers.

Without a supply of breathable air, any humans on Mercury will soon die by asphyxiation (i.e., lack of oxygen). Due to the low gravity (a result of Mercury's small size -gravitational attraction depends on mass) and the intense solar weather (which is not mitigated by a strong magnetosphere like on Earth), Mercury does not have much of an atmosphere. The thin layer of gas which does exist around the planet is primarily sodium, magnesium, and calcium, none of which are suitable replacements for oxygen. The radiation which strips the atmosphere could lead directly to adverse health affects as well, both short term, such as vomiting and gastrointestinal issues, as part of radiation sickness and long-term effects (assuming the astronauts survive long enough) related to genetic mutations as high-energy particles damage DNA, including cancer and nervous system damage. [ This article is about radiation on Mars, but similar would apply for Mercury.] The lack of any appreciable atmosphere also means that anyone who tried exploring the surface without a pressurized spacesuit would suffer a fate similar to someone in open space without a spacesuit. First, the gases dissolved in their blood would expand and inflate the astronauts (eventually killing them, if nothing else does first). Also, they could either burn or freeze, depending on the landing site. The "day" side of Mercury can reach 430°C (800°F), while temperatures on the "night" side drops as low as -180°C (-290°F). [Side note - the extreme difference is partly due to the lack of an atmosphere which would help to regulate and redistribute heat.] The poles and "twilight" region between day and night sides have more moderate temperatures, but would still require some temperature protection to survive.

Interestingly, craters at the poles probably contain water ice, which would obviously be beneficial for humans who probably didn't bring much with them.

In all, Mercury is not a particularly hospitable planet for Earthlings. But for more detail on how humans might survive on Mercury, check here and here.

They'd be burned up by the heat, or they'd die from lack of oxygen, if they didn't have oxygen tanks. The oxygen tanks would explode in the heat!

Well, I guess that would depend on how the humans get to Mercury. I would expect that they get there using a spacecraft, and that this spacecraft clearly is able to keep them alive during their trip to Mercury, so I see no reason why it couldn't keep them alive while on Mercury or in orbit around Mercury.

Mercury has effectively no atmosphere, rotates very slowly, and is quite close to the sun. This means that it is extremely hot during the daytime, but very cold at night. The astronauts' spaceship will have been in the sun for the entire trip to Mercury, so must already have systems that keep the humans on board from getting too hot. It's much harder to keep a spaceship from overheating than it is to keep it from freezing, so I doubt that the long, cold nights on Mercury would be much a problem either.