The third star from the Sun is Proxima Centauri. It's a red dwarf star and part of a three-star system called Alpha Centauri, along with Alpha Centauri A and Alpha Centauri B.

While Proxima Centauri is the closest star to our Sun, it's not the third brightest star in the sky. That would be Alpha Centauri A and B, which appear as a single, bright star to the naked eye.