The heliosphere is the region of space including the Sun's magnetic field and the solar wind, charged particles from the Sun. It extends at least 100 AU from the Sun. Essentially, you are out of the heliosphere when instead of a wind from the Sun, you are experiencing whatever wind is in the interstellar medium (ISM). The heliosheath is the portion of the heliosphere where the ISM starts significantly affecting it and the heliopause is the outermost edge.
The generalization of this term applicable to any star is asterosphere.