When a star "dies" it can do many different things. It can form a neutron star, expand to a red giant and shrink into a white dwarf, or sometimes collapse upon itself to form a black hole. This is mostly dependant on the density of the star. When massive stars, those twenty times the mass of our Sun or more die, they must either exhaust all of their excess mass or implode upon themselves and form black holes. Gravity overwhelms even the nuclear forces. The gravitational force becomes so strong that nothing can escape it, even photons of light, hence the name "black" hole.