Hi.
We think the Sun was born out of a huge cloud of gas and dust. the cloud was disturbed somehow (maybe by a near by supernova explosion) and started to collapse. Once the collapse started gravity pulled the material in further. Most of it ended up in the center as the Sun, but some of it remained to form the planets, dwarf planets, comets, and such that make up the rest of our solar system.
You can read about this at the Window to the Universe site:
Solar System Formation
http://www.windows.ucar.edu/tour/link=/our_solar_system/formation.htmlTerry