The Universe is a big thing that contains everything that we know about. It's so big that nobody really knows how big it is; we know there's a lot of stuff in it but most bits of it don't have anything in them at all. It's about thirteen billion years old, give or take and will probably last for at least that long again, but no-one can say for certain. It's made of loads of different stuff, like molecules and atoms and other chemical stuff, which in turn are made of particles like protons, electrons and neutrons, that kind of thing.
The notable big things in the Universe are galaxies, which are like collections of stars and stuff. But some people say that most of the mass of the Universe is made of "dark matter" which can't be seen. Something to do with some sort of balancing act that the Universe has to carry out to keep itself together, or it would all fly away somewhere, maybe into a parallel universe or something.
Most of the stuff in the Universe is ultimately made up of really small particles (e.g. molecules, atoms, electrons, neutrons, quarks, that sort of thing) that somehow get together to make bigger stuff.
The Sun (and the Earth and the rest of the Solar System) are located somewhere in the Universe in a galaxy (not to be confused with the chocolate bar of the same name) called the Milky Way (not to be confused with the chocolate bar of the same name).