Actually the sun does burn itself up constantly. The solar energy is created deep within the core of the Sun. In there, the temperature and the pressure are so intense, that nuclear reactions take place. These nuclear reactions are hydrogen atoms fusing together to make helium atoms at all times, then releasing heat, the heat that we receive here at the Earth.

Every second 700 million tons of hydrogen are converted into helium. In the process 5 million tons of pure energy is released, and this energy generated in the Sun's core takes a million years to reach its surface. The Sun is like a giant nuclear reactor, where the light and heat released are the result of the nuclear reactions that take place in its core; we should not see the Sun as a big piece of burning material, like coal or wood, but as something more complex and sophisticated. Actually the Sun is basically a thermonuclear bomb with a built-in system that measures its temperature constantly.

The Sun does not explode like a bomb that we see in the movies; its explosions are constantly controlled by its own built-in mechanisms to keep nuclear reactions stable, and release heat and light.