The Milky Way is a galaxy.
We live on Earth, which is a planet. Our Earth is part of the solar system, a system of planets which orbit around the Sun, a star. Our Sun is an average star and is just one of an extremely large number of stars in our universe. A large cluster of stars is denoted as a galaxy. Each galaxy contains billions of stars. Our Sun is part of a galaxy known as the Milky Way. Our galaxy contains about 100 billion (1 followed by 11 zeroes) to 400 billion (4 followed by 11 zeroes) stars. The Milky Way is a disc-shaped spiral galaxy and has a central bulge. Interestingly, we are not even at the center of our own galaxy, let alone the universe (contrary to the view held by human beings for a very long time).
Our closest neighbor is a spiral galaxy known as the Andromeda galaxy.
Hope this helps.