Do I need chains for them?
I was also wondering, for the gear shift stick thing, when you push it to the left and right, theres the numbers 1, 2, 3, 4, and D.
We normally use D, and when we try out the other numbers, 1 has this weird sound to it and it drives really slowly.
What are those exactly for? Which one should I use for snow terrain?

Terrible, you'll need a Mazda Miata or Chevy Aveo

First of all u might need chains but on a Mercedes...Its not likely...And those numbers are there for a stick shift car and it makes funny noises because its switching gears.

How much snow? I had one before and I'd say you don't need chains until 20cm+!

lol. nice.

any 4 wheel drive vehicle handles well in snow.

1 2 3 4 D are gears. You should only be in gear 1 when you're pulling a very heavy load, up a hill, and you need lots of power - and you don't want your transmission to shift. I'd actually never recommend putting it in 1 2 or 3. You might shift down to 4 when you're passing someone... but it should automatically shift into 4 as you push on the accelerator.