I play Nissa, Voice of Zendikar a planeswalker. When it's in play my opponent plays Devour in Flames to deal 5 damage to my planeswalker. I want to use my effect "put a +1/+1 counter on each creature you control" what will be resolve first? Does my creatures get +1/+1?
Nissa, Voice of Zendikar is a Planeswalker, which means that you can only activate her abilities on your turn, and Devour in Flames is a Sorcery, which means your opponent can only cast it on their turn. In other words, if your opponent is able to cast Devour in Flames, then you don't have a chance to activate Nissa's ability.
The following assumes that Devour in Flames can be cast by your opponent at instant speed.
Unless Nissa, Voice of Zendikar entering triggers a triggered ability creating a stack, you will immediatly receive priority and be able to activate the loyalty ability before your opponent can cast Devour in Flames.
If Nissa, Voice of Zendikar entering triggers a triggered ability, then stack will not be empty and when you pass priority, your opponent can cast Devour in Flames to destroy Nissa before you can activate the loyalty ability.
From the Comprehensive Rules:
116.3. Which player has priority is determined by the following rules:
116.3a The active player receives priority at the beginning of most steps and phases, after any turn- based actions (such as drawing a card during the draw step; see rule 703) have been dealt with and abilities that trigger at the beginning of that phase or step have been put on the stack. No player receives priority during the untap step. Players usually don’t get priority during the cleanup step (see rule 514.3).
116.3b The active player receives priority after a spell or ability (other than a mana ability) resolves.
116.3c If a player has priority when he or she casts a spell, activates an ability, or takes a special action, that player receives priority afterward.
116.3d If a player has priority and chooses not to take any actions, that player passes. If any mana is in that player’s mana pool, he or she announces what mana is there. Then the next player in turn order receives priority.
606.3. A player may activate a loyalty ability of a permanent he or she controls any time he or she has priority and the stack is empty during a main phase of his or her turn, but only if no player has previously activated a loyalty ability of that permanent that turn.
EDIT: A spell can't be cast until the player has priority. The trick is that the active player (whoever's turn it is) receives priority immediately after Nissa enters the battlefield.
If there is no stack, then the the active player may choose to activate one of Nissa's loyalty abilities. In response the opponent can cast Devour in Flames (assuming it is instant speed), but the loyalty ability will already be on the stack. What will happen is: Devour in Flames will resolve and Nissa will be destroyed and then Nissa's loyalty ability will be resolved.
If there is a stack (for whatever reason) then the active player cannot and after passing the opponent can cast Devour in Flames (assuming it is instant speed). Devour will resolve, destroy Nissa and the active player has no chance to activate the loyalty ability of Nissa.
Also you cannot cast a spell that targets a planes walker while the planes walker is being cast, since at that time the planes walker is a spell and not a permanent.