Yeah, it's a nebula. Nebulas are where stars are born. It's a cloud of gas, in which over time, form into stars. Once they form, the stars go on their merry way.
I'm not sure if that particular nebula is in our galaxy or not, but rest assured, there are probably millions of nebulas in our own galaxy right now giving birth to new stars.
http://en.wikipedia.org/wiki/Nebula