If we know that the reason a star burns without oxygen and fuel is that it converts hydrogen into helium and we have these two elements on earth then why can’t we make a star on our planet
It's very easy to create a star: you just put an amount of hydrogen gas quite near to each other and gravity will do the rest.
The problem is that the amount of gas you need for that is so large that even replacing the whole earth with hydrogen atoms is far from enough: you need far more hydrogen atoms for that and as such you can't do something on the earth when you need more space than the whole content of the earth :-)
The process by which stars convert hydrogen to helium isn't burning; it is the fusion of the nuclei of atoms. To get nuclei to fuse you need to confine them in a very small space and get them very hot. On Earth we can make things very hot, and we can put things under lots of pressure. The trouble is that we can't do both at the same time.
The usual way we put things under pressure is squeezing them in some sort of vice. But if the thing we are squeezing is many millions of degrees, it will just vapourize our equipment. If we heat up some hydrogen, it expands and we don't get the confinement required for sustained fusion. (But this is how a thermonuclear bomb works)
Now a star is a huge ball of gas. The weight of the gas compresses the inner core of the star to an enormous pressure and traps the heat. A litre of the sun's core would weigh about 150kg at a pressure of about 250 billion atmospheres, and have a temperature of 15million degrees. This combination of temperature and pressure cannot be achieved on Earth. The hydrogen in the sun's core is confined by its own gravity.
Back on Earth we are trying to confine hydrogen with magnetic fields. (See the ITER Tokamak) With this system we will be able to start fusion, but the amount of energy we get out is less than the energy we put in. However solving this problem is merely a technical challenge. If we can work out how to use magnetic fields to confine hydrogen at very high temperatures we will be able to generate power from fusion.