Stellar-wind bubble is the astronomical term usually used to describe a cavity light years across filled with hot gas blown into the interstellar medium by the high-velocity (several thousand km/s) stellar wind from a single massive star of type O or B. Weaker stellar winds still blow bubble structures though, and these are also called astrospheres. The heliosphere blown by the solar wind, within which all the major planets of the Solar System are embedded, is in fact a small example of a stellar-wind bubble.
Stellar-wind bubbles have a two-shock structure.1 The freely-expanding stellar wind hits an inner termination shock, where its kinetic energy is thermalized, producing 106 K, X-ray emitting plasma. The hot, high-pressure, shocked wind expands, driving a shock into the surrounding interstellar gas. If the surrounding gas is dense enough (number densities or so), the swept up gas radiatively cools far faster than the hot interior, forming a thin, relatively dense shell around the hot, shocked wind.