Where do the stars come from? How are stars born?

Richard Feynman, "the greatest physicist of the twentieth century" admits that scientists have no clue where stars come from or how they are made. Apart from guessing that gas gets compressed by gravity and then magically turns into stars. That, or, stars explode and then make more stars. That's the best two theories they could come up with!
They also do not know why gravity works much differently at very small scales then it does at very large scales.