That's what we call the "solar nebula".
Think of it as a gigantic, very thin, cloud, almost completely hydrogen,
with some tiny traces of a few other things in it.
It starts out bigger than the whole solar system and thinner than air.
Gravity pulls it together slowly, over millions of years, until it finally
becomes a star. Those tiny traces of other stuff in the hydrogen
become planets, asteroids, and comets.
