The Sun has been called by many names. The Latin word for Sun is sol, which is the main adjective for all things Sun-related: solar. Helios, the Sun god in ancient Greek mythology, lends his name to many Sun-related terms as well, such as heliosphere and helioseismology.
Earth's only natural satellite is simply called "the Moon" because people didn't know other moons existed until Galileo Galilei discovered four moons orbiting Jupiter in 1610. In Latin, the Moon was called Luna, which is the main adjective for all things Moon-related: lunar.