All the helium in the Universe has been created by the fusion of hydrogen atoms, either in the early Universe or in stars.
What happens to the Helium? Most stars, after converting a significant portion of their hydrogen to helium undergo an internal change. The internal core collapses, and heats up, until it is hot enough to fuse helium into larger atoms, for instance, by combining three helium atoms into carbon. At this same time, some helium will fuse with that carbon to produce oxygen. Outside the core, in what's called the envelope, there is still enough hydrogen to fuse into more helium. But the core begins fusing into larger atoms. This, by the way, is the transition from a 'normal' star like our Sun to a Red Giant.
After the red giant phase the Sun will lose its outer layers leaving behind its helium-rich core, which will gradually cool over the lifetime of the Universe. In stars more massive than the Sun it after the red giant phase it becomes essentially a free-for-all for creating larger and larger atoms. As soon as the helium in the core runs out, the star collapses again, heats up, and starts fusing carbon and oxygen into larger atoms. If the star is massive enough, this keeps happening until iron is fused. At which point a hotter core still won't lead to fusion. The star collapses, becomes unstable, and POW. Explodes, forming a supernovae and neutron star.
Last updated Feb. 10th 2016