In order to 'land' on the sun, or any celestial body, you need to get rid of your orbital speed. Higher orbital speed means higher orbit altitude. Landing on earth is comparatively easy, because you can use the atmospheric drag to slow down. It is so difficult to land on Mars because of it's thin atmosphere. Alternatively you need a shitload of fuel to burn to kill that velocity.
Earth's orbital velcity is ~30km/s. So by extension, anything that comes from Earth will at least have that speed. So the probe needs to find 30km/s delta v in order to actually get close to the sun.