Dyson spheres are a bit different from other things that could be found in space. This is because a Dyson sphere can’t exist without an advanced civilization. A Dyson sphere is a hypothetical device that would be used by a Type II civilization on the Kardashev scale.
The Kardashev scale is a 3-level scale that shows the advancement of a species’ technology. The progress of each level is debated, but the original creator, Nikolai Kardashev, stated as such, a Type I civilization has the ability to utilize most energy produced by one’s planet (heat emitted from the core, storms, etc.), a Type II civilization can harvest most of the energy given off for their star, and a Type III civilization can exploit the energy output of their galaxy.
Moving back to the Type II, the Dyson sphere would be a ball, or collection of groups of panels, that would surround a star that would absorb a majority of the energy output. For this to be possible, four things would need to be accomplished:
1. We will have to build something to the scale of Mega structures
2. We will have to make entering space something easy to do
3. We will have to engineer suits capable of withstanding the extreme heats so close to the sun
4. We will have to find a material hard, flexible, both, or something else to be able to withstand the immense amount of gravity constantly tearing at it as well as the heat burning at it.