Long ago dust and gas were compressed by gravity, forming the spheres that became stars. The dust was vaporised, and balls of gas remained.
Different stars have different brightnesses and colours.
Generally the brightest are the nearest or largest. Colour is related to age and density. Others like Sirius and Rigel are blue-white hot young stars. The blue-white star Rigel in Orion gives out 62,000 times more energy than the Sun. Compare this with our Sun which is already 4,600 million years old.