The plant uses photosynthesis to create sugars, photosynthesis requires the suns energy. The insect eats the plant for sugars. Using the sugars, the insect can create it's own energy that can be used in its body.
The main point above is correct! Some research has also shown that the suns heat is use by some insects to increase it's body temperature (not to keep warm) but to increase the rate of metabolism! :)