We are working on building controlled fusion reactors but, so far, have been unable to overcome the technological problems in doing so. There have been some minor successes, but only on a microscopic scale.
One of the hard parts is maintaining the extremely high pressures and temperatures that are required to sustain a fusion reaction, in combination with being able to contain that reaction. The plasma state needed for the fusion reaction cannot be contained by anything mechanical, as it is too hot. In the Sun, this works because of the extreme mass present, causing enough gravity to sustain the pressure needed. On Earth, we can not use anywhere close to the Sun's mass, so we go with magnetic fields. Problem is, that in order to produce a magnetic field strong enough to hold the plasma, you often need super-conducting magnets, which require super-cold temperatures - yet that has to be sustained in close proximity to the ultra high temperature of the fusion reaction.
So far, the only successful fusion reactors we have are uncontrolled, i.e. Hydrogen Bombs. That would, of course, not do for a power reactor. It is interesting to note that the amount of energy required to initiate a fusion reaction is enormous - so enormous that Hydrogen Bombs actually use Atomic (fission) Bombs to set them off. That's part of the problem with controlled fusion reactions - the amount of energy required to initiate them.