The heliosphere, or a bubble of gas that surrounds the sun, is formed by the solar wind, a steady wash of charged particles coming out of the sun. The heliosheath is its outer edge, which forms where the pressure of this gas being flung out of the sun is balanced by the pressure of the other particles around it.
How do we know all these incredible things? Partly from astronomical observations, partly from theoretical models, and partly because we've been there. The heliosheath is four times as far away as Neptune, however, so how could anyone possibly have been there?
The Voyager Mission
Well, we haven't been there in person. Instead, we sent a robot. Its name is Voyager, and it set sail from Earth way back in 1977. Voyager's initial mission was to do a flyby of Jupiter and Saturn.
The mission was a big success... but when it was finished, there was Voyager, still transmitting signals and raring to go. Mission control sent it out into deep space. And believe it or not, 30 years later, we're still getting data from Voyager and its partner probe, Voyager 2.
At this point, the probes have sailed so far away into space that they've covered ten billion miles and actually entered the heliosheath. Across all that distance, Voyager is sending us all sorts of surprising new information about magnetic anomalies and the origin of certain cosmic rays.