A star is a huge sphere of hot plasma held together by its own gravity. For most of its life, hydrogen in its core fuses into helium, converting a small amount of mass into energy.
This is not ordinary burning and does not require oxygen. The Sun is a star too; it looks much brighter than other stars simply because it is much closer.
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From a gas cloud to a star
Stars begin in dense, cold regions of gas and dust. Gravity compresses the material and heats the centre, forming a protostar before stable hydrogen fusion begins.
Massive stars have more fuel but consume it far faster than low-mass stars. More mass therefore does not mean a longer stellar lifetime.
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What will happen to the Sun?
When the Sun runs out of hydrogen in its core, it will change structure and expand into a red giant. Its outer layers will later drift away, leaving a hot white dwarf that slowly cools.
Much more massive stars can end in supernova explosions, leaving a neutron star or black hole. The matter stars return to space helps form later generations of stars and planets, including elements used by living things.