The universe is everything, or at least, everything that we know of. It consists of countless Stars, Galaxies, Nebulae, and many other bodies. The universe is thought to be about 15 billion years old, though this number is hard to say for sure, since time has little meaning at the beginning. Cosmologists, who study the origins of the universe, mostly believe that is all started with some sort of Big Bang, a huge explosion that flung all matter, mostly in the form of galaxies, out from a central point. What there was before, if anything, we can only speculate. Perhaps there was nothing. Maybe the universe is in an infinite cycle, creating and destroying itself every few billion years. No-one knows for sure, and it is possible that no-one ever will.
The Microwave Background Radiation
Although the spaces between stars appear empty, they do in fact contain large amounts of electromagnetic waves, the remnants of the big bang, and products of the stars. The microwave background radiation allows us to measure the temperature of this interstellar space, and gives some insight into the nature of the universe. Typically about three degrees above absolute zero, the lowest possible temperature that anything can get to, space is extremely cold. A NASA probe known as COBE, studying the microwave background in deep space, confirmed this value (2.725 degrees above absolute zero precisely). The probe also detected a Cosmic Infrared Background, and observed variations of intensity in the Cosmic Microwave Background that indicate how matter was distributed in the young universe.