What are software objects made out of?
Computer memory.
It is only a slight exaggeration to say that memory (both main memory and secondary memory) is all that there is inside of a computer The other pieces of electronics---the processor chip, the busses, the power supply, the keyboard, the video card and so on---exist only to work on memory and to show what it contains. So what else could a software object be but a chunk of memory?
(Actually, it is not quite correct to claim that a software object is a "chunk" of memory. A software object is somewhat like a bank account---its existence is spread out and does not correspond one-to-one with any particular piece of material. But for now it is convenient and reasonably accurate to think of a software object as a chunk of memory.)
Objects (real world and software) have identity, state, and behavior.
Software objects have identity because each is a separate chunk of memory (just like a yellow tennis ball, a software object is a distinct individual even if it looks neary the same as other objects.)
Software objects have state. Some of the memory that makes a software object is used for variables which contain values.
Software objects have behavior. Some of the memory that makes a software object is used to contain programs (called methods) that enable the object to "do things." The object does something when one of its method runs.