Why does a forming star go from cold to hot as it forms?

When a star is formed out of a nebula, the dust and gases start coalescing together. They swirl around because of gravity. This gravity pulls all the matter towards the center of the star forming disk. Currently, the temperature is not that high.

As the matter starts accumulating, pressure increases and because of the excess pressure temperature starts increasing in what will become the core of the star. Once a particular temperature (around 10 million °C) is reached, nuclear fusion starts in the core. Thus starting the thermonuclear reaction which further heats up the star and balances the inward gravity. This is how a star goes from cold to hot.