Our solar system belongs to a Galaxy called "Milky Way". It is called Milky Way because it looks like a milky patch of sky above the Earth at night. The Romans named it via lactea means a milky patch of sky, Greeks used to call it galaxias kyklos, which translates into “milky circle.”
Many people are not clear about the difference between our Solar System, our Milky Way Galaxy, and the Universe. Our Solar System consists of our star, the Sun, and its orbiting planets (including Earth), along with numerous moons, asteroids, comet material, rocks, and dust. Whereas a galaxy is a huge collection of gas, dust, and billions of stars and their solar systems which are held together by gravity.