I only have a white, red, green and yellow wires, from my old thermostat. I see multiple Red wires... where does a single red wire go... to the R connection...
You need to jumper the red wire to both Rc and Rh. The Rh powers the heating side and the Rc powers the cooling side. Since you have a four wire system, they use the same power supply therefore they need to be jumpered. I believe your XT500C takes batteries. If so you don't need to connect the common (C) terminal. If you do need the C comment back a I will guide you to a resolution.
I suppose you should safely dispose of the mercury at a waste facility. My Dad and I have been keeping mercury from old thermostats in a jar for collectively 70 years.