The solar system formed out of a cloud of gas known as a nebula. The central part condensed into the Sun, and as the Sun spun around the rest of the nebula around it spread out like a pancake around it. Bits of this pancake of nebula clumped together forming planets. The planets that formed further out from the Sun, like Saturn, contained ices, the inner planets were more rocky.
Check out this link for more info!
http://stardate.org/resources/ssguide/planet_form.html cheers,
Sarah