What occurs to make a sphere of gas into a star?
Two great cosmic forces conspire to create a star from gas. Gravity is one, and time is the other. With sufficient material (the gas - mostly hydrogen), and over a great length of time, gas will be attracted by other gas due to gravity. As more gathers, more gravity attracts even more gas. It is a self-generating event if enough gas is initially present, as would be in a stellar nursery. As the "critical mass" of material accretes, the gravity - now overwhelming - pulls everything in and compresses the heck out of it. This heats the gas. At sufficient temperature, about 10 million degrees Kelvin, the proton-proton reaction that is nuclear fusion begins, and the star "turns on" for the first time. Hydrogen is being turned into helium. The star's initial fuel load will determine its type and its eventual fate. You got a link if you want it.
ANebula is a conglomeration of gas usually lit up or excited into luminescence by nearby stars. A Neutron star is a star that has collapsed into a very small (for a star) sphere so that its entire density is that of the nucleus of an atom. Our Sun would have a diameter of about 20 km (the length of Manhattan) if it were to collapse into a neutron star.
A star begins its life as a ball of gas and dust. Gravity pulls the gas and dust into a spere. As the sphere becomes denser, it gets hotter and eventually reaches temperature of about 10,000,000 Celsius in its center. As hydrogen combines into helium, energy is released in a precess called neclear fusion.
Jupiter is a gas giant planet and is 1/1000 the size of the sun. The sun is a star, also a sphere of gas. Because of its greater size and mass, it has nuclear fusion reactions going on it its core, where hydrogen fuses into helium and releases great quantities of energy, which we see as light and radiation..
It isn't quite clear what kind of phenomenon produced the Star of Bethlehem. Perhaps it wasn't even a star, but something else. The gas that makes up most of a star - assuming it was an actual star, of course - is usually hydrogen; but if it was a supernova explosion - which, once again, isn't known - a supernova has already converted most of the hydrogen to heavier elements.