Q:

How do you make an interesting game without boring players?

I just became a sort of DM in which I go through a fun world in all it's glory.
How do I make it so people won't get bored and just start killing things, yet also don't become fed up because the game is too hard. I want to keep my players entertained, yet also challenge them to think.
I read the dungeon master guide and the player handbook. But I have played games in which the challenges were too hard or way too easy. Is there a style of doing things that would make the players not go crazy and kill everything in the game or not fight anything for fear it would wreck them. 
It's like a bunch of three year olds, They all want to go places, just in the opposite directions. Should I change the style of quest of give them NPC's what do I do. 

A:

This is going to depend on a lot of stuff. It's like asking the question what present to buy for someone? Everyone is different. You have to consider a lot of factors about what makes your players bored (or excited, if we want to approach the problem positively). Really the answer is to get to know your players.
Here are a few things I'd consider. Some of them may seem a bit overlapping.

Player's age
How long they've been playing DND
What do they like? Story? Combat? Item collecting? Lores? Interesting Monsters?
What are they looking for in a game?
Do they like messing with other players? Do they want to collaborate?
Do they mind dying? How do they want to be rewarded?

The same page tools gives you questions you can think about too. I don't actually ask these questions but just know that they are there helps.

Same page tool
A pdf version

Also here are a few things I particular enjoy as a player

Good role playing from DM! Different voices, different quotes, different personalities.
Seeing a character I love in a film / book come to live! We've had a donkey like the one in Shrek in our campaign once and it's pretty hilarious. 
Relating character / events to film / books / songs I know. It's always fun to recreate something from something you know.
Prepared notes, perhaps in different languages, and the translations if players can read it.
Prepare music

You mentioned "just start killing". I personally feel combat does very little in terms of keeping me not bored. That's also because I've been playing D&D for a while now and combats can become a bit repetitive. When I was new I was really excited about combats though, especially different kinds of combat. Tight space, open space, under water, in the air, magic, melee, physical fights, escort the VIP, etc... If you want to go down the combat road, keep the fights surprising. 
Aside from getting to know your players, also be mindful of watching if someone is getting bored. Have an NPC talk to them. Get them more involved. Sometimes a player tends to be the center of the game. A good GM will rotate things around so everyone gets to be a "star". Something you can do is to simply say the player not getting the attention "found" something, rather than the player that always talks.

