The pressure in the interior of the sun is strong enough to fuse hydrogen into helium. There is no possible structure that could withstand such pressure.
You're right, of course; I was aiming at humor. In any case, I would think that it would make more sense to use the sun's gravitation as a whip, so that at 3000 km/s one could not only get around the sun in a few hours, but also be far enough away to handle the sun's heat and its other radiations.
“There is no possible structure that could withstand such pressure.”
Well, you only say that because you haven’t discovered transparent aluminum yet :P