Review states of matter that the students know: often just solid, liquid and gas.
Review the spacing of the atoms/molecules in each state of matter (close in solids, further apart and free to move in liquids, even further apart and even more energetic in gases) and that in each state the particles are progressively more energetic.
Tell students that when gas is energized even more, the atoms split apart and the electrons become free from the nuclei. This is a 4th state of matter, called plasma.
In the plasma ball, plasma is produced when electrons moving at high speed (from the central electrode to the glass of the ball) bump into gas atoms and break them apart.
In the sun, the extremely high temperatures and pressure split the atoms to make plasma.