Sulfur is a yellowish substance found in coal. A way of removing sulfur particles from coal is to break it in small chunks then wash it.
Sulfur exist in specks called "pyritic sulfur" that of which can be washed out in large water filled tanks. Coal floats while sulfur sinks (due to it's dense properties). This is done in "coal preparation plants", which is a requisite for Coal Fired/Steam Power Plant.

Nitrogen Oxide or NOx is formed when nitrogen combines with oxygen. NOx is a pollutant, which is mostly responsible to occurrences of smog.
The best way to prevent Nox is to prevent Nitrogen from combining with Oxygen. When there are more fuel than air in the combustion chamber NOx aren't formed. It is in these set condition that oxygen combines with the fuel itself rather than the Nitrogen.

Mercury is minutely found in coal. With the presence of the so called "scrubbers" Mercury is reduced to a level that isn't fatal to health or the environment.

Scrubbers have been present in most CFPP since 1978. But with newer innovations & enhancements Scrubbers are so effective that 90% of pollutants are reduced. The key is lime or limestones. They are crushed to powder like substances. Sulfur, Nitrogen, and Mercury are acid base, while Lime are alkaline. Alkalines are effective in absorbing acids.
Now the approach in using limestones varies, some technologies introduced limestone in the combustion process, therefore upon burning the fuel hazardous chemicals are gravely reduced and at the same limestones are also present in "scrubbers". The presence of limestones in both process ensures optimum reduction of Sulfur, NOx and Mercury.