This question can have a few answers.

1. The Milky Way galaxy is about 120,000 light years in diameter.
We're about 25,000 light years from the center.  Thus, the most
distant stars that are still in Milky Way galaxy are about 95,000
light years away, on the opposite side of the center from us.  Because
of absorption by interstellar gas and dust, though, we cannot see any
of these stars.

2. The most distant object known has a redshift of just over 5.  That
means that the light from this object started its journey toward us
when the Universe was only 30% of its current age.  The exact age of
the Universe is not known, but is probably roughly 12 billion years.
Thus, the light from this object left it when the Universe was a few
billion years old.  Its distance is roughly 25 billion light years.

3.  Existing observations suggest that the Universe may be infinite
in spatial extent.  If so, then the farthest star would actually
be infinitely far away!

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