Here's why:

* The Milky Way is vast: Our galaxy is massive, but it's still a finite region of space.

* Other galaxies exist: There are countless other galaxies in the universe. Some are close enough that we can see individual stars within them.

* The Andromeda Galaxy: The closest major galaxy to us is the Andromeda Galaxy, which is visible to the naked eye under dark skies. It appears as a faint, elongated patch of light.

* Other nearby galaxies: While less prominent, other galaxies like the Triangulum Galaxy are also visible.

* Star clusters: Sometimes we see star clusters that are physically within the Milky Way but are far enough away to appear as distinct groups.

So, how can you tell if a star is in the Milky Way?

That's actually quite difficult to determine just by looking. You'd need a telescope and some knowledge of astronomy to identify the specific galaxy a star belongs to. However, if you see a star that appears very dim and fuzzy, it's likely a galaxy, not just a single star.