What great questions you have!! These were some of the questions scientists asked and only just answered in the past hundreds of years.
The answer about the Sun is tricky because first I have to ask you to think about the Sun a little different than you think about it right now. The Sun is moving through space with lots of other stars that are far far away. But compared to Earth, it mostly stays in one place in space and Earth moves around the Sun, like horses moving around the center post of a carousel. Gravity is what ties Earth and the Sun together and Earth is moving in such a way that it will not "fall" into the Sun. If Earth did "fall" into the Sun, from our perspective on Earth it would look to you and I like the Sun falling out of the Sky. Luckily we don't expect this to happen so the Sun will always "stay up in space."
Another perspective is that we sit on Earth and see the Sun giving us daytime and disappearing at night - it rises and sets every day. But what actually happens is that Earth rotates on its axis - like a ballerina doing a piroutte. But we are on one place on the Earth and as Earth turns, we move into daylight and then out of it again.
For both of these answers, it would very much help to have a globe of Earth to show what we are talking about. Perhaps, Mrs. Martin can do a demonstration of some of these concepts!
The Sun is all different colors, but it is the brightest in the yellowish-green color and this is why many children's book show the Sun as yellow. Because it is brightest in yellow, we call it yellow. But it also has red, blue, ultraviolet, infrared... and many more colors.
Laura