Astronomers think that the Universe started with a giant explosion called the Big Bang. Why do we think this? Well, we know from looking at the redshift of distant galaxies that the Universe is expanding.
Of course, if you were to wind time backwards, it would mean that the galaxies would have been much closer together in the past. If you go back far enough, all of the galaxies, and indeed everything in the Universe would have been in one place.
If you then imagine going forwards in time again, everything in the Universe will suddenly "fly apart" in something a bit like an enormous explosion. This is what astronomers call the Big Bang.