The high-pressure steam for a steam engine comes from a boiler. The boiler's job is to apply heat to water to create steam. There are two approaches: fire tube and water tube.
A fire-tube boiler was more common in the 1800s. It consists of a tank of water perforated with pipes. The hot gases from a coal or wood fire run through the pipes to heat the water in the tank, as shown here:
In a fire-tube boiler, the entire tank is under pressure, so if the tank bursts it creates a major explosion.
More common today are water-tube boilers, in which water runs through a rack of tubes that are positioned in the hot gases from the fire. The following simplified diagram shows you a typical layout for a water-tube boiler: