There are helium atoms inside stars. The star makes helium by squashing four hydrogen atoms together into one new helium atom. So stars are made mainly of hydrogen and helium atoms. When a star runs out of hydrogen, it begins to turn helium atoms into carbon atoms instead.
But the helium people use on Earth mainly comes from mining underground gas pockets of helium. The helium gets underground when radioactive atoms like uranium (that are underground) decay and shoot off alpha particles, which are the same as helium atoms without their electrons. Still underground, the alpha particles find electrons and join up with them to become helium atoms.
Because helium atoms are small, they are very light. Like hydrogen, helium is lighter than air, so when you fill balloons with helium, they float. But the main thing people use helium for is to keep things from exploding. Helium atoms are very stable – it’s hard to get them to combine with other atoms into molecules. So if you are working with materials that might explode, you can do it more safely in a helium atmosphere. Welders, for example, use a lot of helium this way.
Bibliography and further information about helium and atoms: