The Milky Way is a gravitationally bound collection of roughly a hundred billion stars. Dust in the disk makes it appear orange in the picture.
Dust absorbs blue light more than red light and thus makes stars appear reddish.
Our Galaxy has spiral arms in its disk - these spiral arms are regions of active star formation. An extended dark halo whose composition is unknown. Since the matter in the halo does not consist of luminous stars, it does not show up in the COBE image. The existence of the dark halo is inferred from its gravitational pull on the visible matter. Additional images of the sky from the COBE home page.