A Hubble image of Proxima Centauri taken with the observatory’s Wide Field and Planetary Camera 2. Centauri A and B are out of the frame. Credit: ESA/Hubble & NASA
Proxima Centauri, the closest star to our own, is still 39,900,000,000,000 km away. (Or 271,000 AU.) When we talk about the distances to the stars, we no longer use the AU, or Astronomical Unit; commonly, the light year is used. A light year is the distance light travels in one year - it is equal to 9.46 x 1012 km. Alpha Centauri A & B are roughly 4.35 light years away from us. Proxima Centauri is slightly closer at 4.22 light years.
This illustration shows the comparative sizes of (from left to right) the Sun, α Centauri A, α Centauri B, and Proxima Centauri
More: http://en.wikipedia.org/wiki/Proxima_Centauri