Hi Pancho,
We think the sun and solar system formed out of a big cloud of gas and dust, some of it left over from old stars that exploded, spreading themselves out into space.
Something caused a disturbance in the cloud that caused it to start to condense and then to collapse under the gravity. Eventually there was so much material that the pressure at the center caused nuclear fusion - that's what makes stars glow!
You can read more about it at Windows to the Universe. They also have pictures of areas where we think stars are still forming!
http://www.windows.ucar.edu/tour/link=/our_solar_system/formation.htmlhttp://www.windows.ucar.edu/tour/link=/cool_stuff/tourstars_24.htmlcheers,
Terry