When you look at the night sky with the naked eye, everything that you see is in our Milky Way Galaxy.
The farthest easily seen star is only a few thousand light years away. A light year is the distance that light travels in one year - about 6 trillion miles.
The one exception is the Andromeda Galaxy. It is also known as Messier 31 or M31. M31 is the most distant object visible to the naked eye.
There are 2 reasons for this.
The first is that M31 is a galaxy, similar to the Milky Way, with hundreds of billions of stars.
The second is that M31 is only 2.5 million light years away. In the grand scheme of the universe, this is next door. Yet, the light that you see from M31 began its journey when the Gunnison River was just beginning to carve the canyon we call the Black Canyon.
To find M31 in January and February with the naked eye, you'll need a dark site, no moon, and 20-30 minutes for your eyes to dark adapt. However, if you start with binoculars, then you should be able to find it even from your back yard.
Look west and find 4 bright stars that make up a large square. This is an asterism called the Great Square of Pegasus. Find the northernmost of the four stars.
As you move away from the square at that corner, you will see a chain of stars. The second of these is relatively bright. Turn your view sharp right and move until you see a smudge in the sky. This is the immense Andromeda Galaxy!
There are several good sites on the Internet that can help. Search for "How to find the Andromeda Galaxy."