The Orion Nebula, commonly designated as M42, is a diffuse star forming nebula in the Orion Constellation.  Nebulae are stellar nurseries - where stars are born!

This nebula is actually visible with the naked eye!

If you look for the Orion constellation in the sky, the Orion Nebula is located on the 'sword' that dangles from Orion's Belt.  This wikipedia image below has the nebula circled.  Look for it the next time you're out!