Tran - what Matthew said above is good advice. France makes many kinds of sweet wines but the French aren’t the only people who do that and you should explore further. Personally I can’t drink most of the Australian sweet wines, but they make a few late harvest wines and botrytis wines that are quite tasty.
In France as elsewhere, you get wine that is made from late harvest grapes - i.e. leave the grapes on the vine until the sugar levels are very high, you have wine that is made from grapes that have been picked ripe and then dried on straw or something to concentrate the juice, you have wines made with botrytized grapes like those of Sauternes and the Loire, and you have wines that are fortified before all the juice is fermented, much like Ports. All are different and all can be good, depending on who makes the wine.
In the south, you have sweet Muscats like those from Rivesaltes - made by fortifying the must, and similar wine is made in Banyuls and Maury from Grenache. That method is fairly popular - it’s the way they make Port and it’s followed many places around the world including Australia, California, Spain and many other wine regions. Of course, they also make sweet Muscat that is made simply from late harvest grapes and is not fortified and that style of sweetening the wine is probably more widespread - it’s also made in Alsace and in probably every other wine region, including New York. Some of those French wines are made in an open and warm environment as well, so they become oxidized, which makes them resemble Madeira.
In the Rhone, you can find vin de paille, or “straw wine” which is made by drying grapes before crushing them. They call it straw wine because the Romans used to dry the grapes on straw mats, but that’s not always the case any more. At any rate, that wine is also made in Cotes de Jura as well as elsewhere in the world, notably Italy. The sweetness is very different from the fortified wine - it often has notes of toffee without the ripe fruit flavors of the fortified wines (they also lose that quality when they age) and it doesn’t have the burn from the alcohol.
Of course you have the botrytized wines from Sauternes and elsewhere. Those don’t get made as frequently as some of the others mostly because you need very specific conditions to make those wines - generally they’re done in cooler regions. But they are made elsewhere, including Germany and Austria and of course the greatest of all come from Tokaj but those are slightly different in the way they’re made.
I don’t think the French do icewine, although I may be wrong. That’s a relatively new style of wine - these others date back hundreds of years.
Since you’re new to wine, it’s understandable that you don’t know sweet wine other than Sauternes. But mostly that has to do with marketing. Sauternes can be delicious but they are neither the only nor the best sweet wines made in France or elsewhere. The same with Bordeaux in general. The fact that they may be the most expensive is of course, unrelated entirely. You’ll figure that out soon enough though. Happy hunting.