I'm not sure from your question if you mean where does the sun come from when it appears each morning, or where did the sun come from originally (i.e., how was it "born"). If you are wondering where it comes from each morning, the sun doesn't really move. All that is happening is that Earth is rotating around, and during the night, the part of the Earth that we are on is facing away from the sun. When the sun appears to rise in the morning, all that is happening is that the Earth has turned so that we can just start to see the sun.
If you are wondering where the sun came from originally, there was an answer to one of the last batch of Scienceline questions about how starts are born. The sun is just a star, and was born in the same way as other stars, so you can just look up the answer to that question.

The sun and other stars come from space dust and gasses.Space is not a total vacuum. It has very small amounts of gasses and dust in it. But in some places the dust gets just a little dense and gravitational attraction takes over and causes it all to come together very slowly--millions and billions of years. Eventually the cloud gets dense enough and big enough that pressure is exerted on the gasses in the center so that they heat up--but it isn't a star yet. Much later, the heat and pressure are so great that nuclear reactions begin and then you have a star or our sun. If you want to see places where stars are forming, check out nebulae.

The sun was formed more than 6 billion years ago from a cloud of gas and dust that came from the remnant of a previous star that exploded as a super-nova. You might look in the Scienceline archives under the question "how are stars formed?" in the astronomy section. Historically, people have had to make other ideas about where the sun came from each day as it comes over the horizon, goes across the sky, and sets again. What sorts of explanations for where the sun comes from each day do you think people might have made before they understood astronomy as we do today?

There are several theories about this -- it is generally thought that the sun and solar system coalesced out of diffuse gas in the milky way about 4.6-4.4 billion years ago, with most of the mass (99.98%) ending up in the sun. The sun is known to be a population 2 star -- i.e. its spectra shows traces of many elements other than hydrogen and helium so it is almost certainly made up of gas mixed with debris from earlier stars. (It is believed that all elements beyond iron are formed only in such collossal explosions). Although there are many views about why the gas collapsed, it is known that the sun is inside of a supernova blast sphere, formed when a super nova exploded eons ago. Such explosions can cause local high density regions within which stars can form. You can see newly formed stars as bright open clusers --with the pleiades (the seven sisters) and the big dipper association as the easiest and the orion nebula grop as the newest easily seen.
Although 4. 5 billion years seems very long, astronomers now routinely find galaxies whose light has been enroute to us for far longer. Most theories place the formation of the milky way at least 12 billion years ago -- so there has been lots of time for the universe to build stars which died before the sun formed....