The Sun doesn't simply sit still and shine. It exhales. Constantly, in every direction, it pushes out a stream of charged particles called the solar wind, a plasma of protons, electrons, and alpha particles travelling outward at roughly 400 to 800 kilometres per second, and that stream doesn't stop at Neptune or Pluto.
It keeps going, hundreds of billions of kilometres further, pushing outward against the interstellar medium, which is the diffuse gas and magnetic field that fills the space between star systems in the galaxy.
The pressure of the solar wind carves out an enormous bubble in that interstellar material, and everything inside that bubble, every planet, every moon, every piece of rock and ice we've ever sent a spacecraft to, sits within it. That bubble is the heliosphere, and it's the closest thing the solar system has to a skin.