The misleading part about almost any mention of "millions of degrees" is that people implicitly expect this happens under earthly conditions, when in fact these

The misleading part about almost any mention of "millions of degrees" is that people implicitly expect this happens under earthly conditions, when in fact these values are typically just a reference to the speed of atoms in a rarified environment. Like the sun's corona, it may be very hot, but not very dense. In other words, there is not a lot of energy per volume, just a lot of energy per particle. For example, a common way to reach "millions of degrees" is to pump the air out of a container to an extreme degree, then introduce trace amounts of a gas, and then accelerate or otherwise heat those few particles. If this happened under normal pressures, there would be no container material that could withstand these temperatures. But in a near-vacuum, the collisions between the accelerated particles and the walls can be kept low. In an experimental fusion setting like this, they also employ a magnetic field to keep the plasma away from the container.