Why is sun burning if it do not have oxygen and how it shines

The Sun does not "burn", like we think of logs in a fire or paper burning. The Sun glows because it is a very big ball of gas, and a process called nuclear fusion is taking place in its core. Nuclear fusion occurs when one proton smashes into another proton so hard that they stick together...and release some energy as well. This energy then heats up the other materials (other protons and electrons and such) nearby. This heating eventually grows out from the center (or core) of the star to the outside, finally leaving the surface and radiating out into space to be the heat and light we know stars emit