Hi!
We think the Sun formed from a huge cloud of gas and dust billions of years ago. This cloud was disturbed, maybe by a near by exploding star, and collapsed to form our Sun and planets. You can read more about it here:

http://www.windows.ucar.e...on.html&edu=elem

There are places where we think we can see this happening in other dust clouds today, like in this beautiful picture from the Hubble Space Telescope:
http://apod.nasa.gov/apod/ap040707.html

Terry