There are several types of heating: heat by conduction, convection, and radiation. The first two require a medium – such as air – to heat up and then transfer heat to something else. In space, there is no medium to heat up, so we are left with only radiated heat.
Heat transfer via radiation occurs when light ( the light can be visible or invisible to the human eye) emitted by something hits something else and causes the molecules to become excited.
When you shine a flashlight at a wall and walk closer, the beam will become more concentrated. Just like a flashlight, the closer to the sun something gets, the more intensely it is illuminated, meaning that there is more energy being absorbed and thus more heat is transfered via radiation.
This is an oversimplified explanation that neglects some other important factors like how much an object absorbs or reflects radiation, but I think it answers the basic question.
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