Our Solar System is held together by the gravity of the Sun, which is a star at its centre. Eight planets orbit the Sun. Most of them have natural satellites, which are moons that orbit the planet. The Earth has one, which we simply call the Moon.
There are smaller bodies as well. A dwarf planet, such as Pluto or Ceres, orbits the Sun and is roughly round, but it has not cleared other objects from the path of its orbit. Asteroids are rocky lumps, and most of them orbit in a belt between Mars and Jupiter. Comets are made of ice and dust and travel on long, stretched orbits around the Sun.