We don't know exactly. There are a lot of virusesthat are very similar to HIV in their biology that exist in other advanced primates, although none of them are as deadly as HIV.

HIV probably evolved from some of these, and may have evolved more than once (there seem to be at least two different kinds of "HIV" that may not be the same virus at all). How it got transferred to humans is a question to which we do not know the answer, but it has led to a substantial amount of scandalous speculation.