* The sun is a star, not a solid object. It's a giant ball of burning gas. We can send spacecraft to study the sun, but they wouldn't be "flying" through it like you would fly through the air.
* The sun is incredibly hot. No spacecraft could survive the heat of the sun's surface.
* The sun is far, far away. The moon is relatively close to Earth, a mere 238,900 miles away. The sun is about 93 million miles from Earth.
So, while we can send probes to study the sun, it's not about "flying" to it in the traditional sense.
To answer your question directly: It's much quicker to get to the moon than to send a probe to the sun.
