An interesting question with quite a bit of history behind it. In short, the sun is located at the center (though not necessarily distance-wise) of the Solar System. In fact, "Solar" means sun. The Solar System is the view of the planetary system that we call "heliocentric" meaning "sun-centered". We on Earth orbit the Sun as the third planet from it. That picture on the link above is not to scale, especially the relative size of the sun and distances between planets. More fun facts about the sun

The Sun, it turns out, is actually a middle-aged star and is big enough that it can hold all the planets in orbit through the force of gravity. However, we didn't always have the heliocentric model for the planets. Before the 16th century, we had the geocentric (or "Earth centered") view of the planets where the Earth instead of the Sun was located at the center (of not just the planets, but of the universe as well!), most famously associated with Ptolemy , a Greco-Egyptian astronomer. It wasn't a bad first guess given what people could observe at the time (i.e., the sun rise and sun set and motion of the stars relative to the earth made it seem like the sky was rotating about a fixed earth). It wasn't until several scientists named Nicolaus Copernicus , Galileo Galilei , and Johannes Kepler made key experimental observations and Mathematica models to explain and predict those observations that the heliocentric view of the planets came about. (It's worth mentioning that although textbooks tend to reference these three scientists, there were hints of the heliocentric view of the planetary system in also India and Middle East much earlier.) And it was not for another hundred or so years until we realized that the sun itself is not the center of the universe!

Hope this helps!
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The sun is located at the centre of the solar system. Because it is the most massive object in the solar system, all the other objects orbit around it. If you want to be a little more complicated, the "centre" of the solar system (the centre of orbit) is actually slightly above the surface of the sun. Jupiter is so massive it has a significant gravitational pull on the sun, and causes the sun to move a little. If you were to look at it from a long way away, it would like like the sun wobbles a little.

The sun is in the very center of the solar system. Everything goes around it.

The sun is at the center of our solar system. When the sun was formed, it was surrounded by lots of little particles which circled around the sun because of its strong gravity.

These little particles collided with each other and made clusters that grew and grew until they formed the 8 planets. The planets continue to circle around the sun at different distances. Here is a link to a drawing on the Internet that shows this nicely.

In other solar systems in space, the story can be more complicated. The sun may not be exactly at the center if the planets are very big or if the sun is rather small. There are sometimes even multiple suns in a single solar system!

Here at home, we have just one big star and 8 (relatively) small planets, so our sun is in the center of our solar system.