Hi Becky,
Sending something actually into the Sun would be very tough - the Sun is so hot that everything there is vaporized. You'd have to be very clever to get around that. At the moment NASA is working on a mission to send a probe about 3.5 million miles from the Sun's surface, which is stll a challenge.
We are probing the Sun's interior remotely by studying its vibrations. this is called "helioseismology". In many ways it is similar to the seismology we use to find out about the inside of the Earth - we have not observed that directly either.
cheers,
Terry