Rainbows happen when light is shining on water droplets. That's what Wikipedia says. We see them when the sun is shining on rain that is falling in the part of the sky that's opposite to the sun. The rays of light bend when they go into the rain drops, and then they reflect off the back of the raindrops, and then they bend again when they come out of the rain drops. Different colors of light have different wavelengths, which make their rays bend more or less than other colors, so the white sunlight gets separated into all the colors of the rainbow.