A star begins as a huge lump of gravitationally bound gas. This gas runs into each other, that's how it has pressure and temperature, even when it is as diffuse as a proto-stellar nebula is (which can be on the order of tens to hundreds of atoms per cubic centimeter). The nebula goes through cycles of compression and radiation, as the gas collapses due to gravitation it heats up, raising the pressure and halting the collapse. But then the heat is radiated away and the gas cools, and then it continues to collapse. This process takes a chunk of gas that is on the order of a light-year across and follows it down and down and down as it contracts to the size of a solar system then to the size of a star. Over time the globule gets denser and denser, and thus the force of gravity pulling matter down toward the center gets stronger and stronger. Which means that the amount of pressure necessary to counteract that pull gets higher and higher, and thus the temperature of the proto-star as it collapses goes up. Stars are born hot and bright, even before conditions in their core are hot enough to ignite fusion reactions. Which is the inevitable result of a mass of gas that is dense enough to undergo collapse and is massive enough to result in a body that is over about 75 times the mass of Jupiter (the lower limit of a red dwarf star). It is the energy from those fusion reactions which provide the temperature and pressure increases which ultimately halt further gravitational collapse.

That's how stars are formed.

Absolutely none of this is applicable to dark matter. Dark matter isn't made up of atoms, it doesn't bump into and bounce off of other particles of matter. It doesn't maintain a temperature and pressure the way a gas does. Dark matter interacts extremely weakly. Neutrinos are an example of dark matter, but a type that we know doesn't make up most of the mass of dark matter in the Universe. A neutrino will pass through a chunk of lead a light year thick and then only have a 50/50 chance of being stopped. Dark matter is even more weakly interacting (with ordinary matter and itself). Particles of dark matter are zooming about in orbits around the center of mass of our galaxy. They zip through almost everything they touch without interacting, the exception being black holes, which they simply fall into like everything else, of course. They are like an enormous parade of ghosts that can only interact with other matter through gravitation, meaning orbital dynamics. Because of this they have no way of condensing into forms of higher density like nebulae, stars, or planets.

Imagine a giant ball of yarn larger than our galaxy, except each thread is a flow, a river of huge numbers of ghostly dark matter particles. Except there are many balls of yarn overlayed on top of one another and many flows going through any one point, since they don't interact with each other. Some are traveling around in orbits around the Milky Way in the same direction as our Solar System, some are going the opposite way, some are in orbits at various inclinations to the galactic plane, some are in circular orbits, some are in eccentric orbits and the part of the galaxy where we are is their highest distance from the galactic center, for others it's the closest distance to the galactic center, and so on. All of these flows, this ghostly wind of insubstantial but massive dark matter particles is what together makes up the "dark matter halo" around our galaxy and around typical galaxies. In any given section of the galaxy, say a typical cubic light year, the total amount of dark matter isn't that great, it's vastly lower than the mass of any star that would happen to be there, for example. But the dark matter is everywhere, it flows throughout a region that extends well beyond the edge of the visible galaxy, and it has roughly the same density everywhere, so over huge volumes that mass adds up, and up, and up, and turns out to be, in aggregate, greater than the mass of all of the ordinary matter in our galaxy, by a factor of about 5:1.