Black holes are made of actual matter (most commonly collapsed stars). The strength of gravity depends on how much matter there is and how close to the centre of it you are (without being inside it). A black hole is where there's a distance outside of it where the gravity is strong enough to prevent light escaping. i.e. you need enough matter squashed into a small enough space. To make the Sun into a black hole you'd have to squash it down to a few km diameter, but at the Earth's distance its gravity would be the same strength as it is now.