A star, or a sun, is a big burning ball of gas that occurs in space and is held together by stuff like gravity and some other forces too probably. There are lots of stars in the Universe, but no-one really knows how many.
Lots of them can be found within the Milky Way but most of them are somewhere else.
The best-known star to humans is the Sun (not to be confused with the newspaper of the same name), as it is part of the Solar System that includes the Earth. The Earth orbits the Sun, so humans have looked at it for quite a while. It's easily the closest star that humans have to study.
Humans look at other, more distant stars using optical instruments like telescopes and stuff, but because of the speed of light and all that crap, it's hard to say exactly what is being seen.