Winds form through a process called convection. Convection is a mechanism of heat transfer in which fluids (like air) move to distribute and equalize heat. The planet is heated unequally by the sun: areas near the equator receive more incoming solar radiation on average than areas near the poles. Air molecules in the atmosphere move naturally to redistribute this uneven heat energy. This movement of air molecules is what we experience as wind.

Winds form from the movement of air masses. There is a key principal of nature that gases move from high pressure to low pressure. When the weather forecaster talks about a "low pressure system" or a "high pressure system" moving in, they are talking about air masses. When the air pressure changes, it causes wind.

You may be thinking "ok but why do the air masses move?" and "how come some air masses are high pressure and some are low pressure?" . There are two big reasons:

1-- the earth turns. As the earth turns it makes the air masses move. We call this force the "Coriolis force".

2-- The sun heats the air near the equator more than it heats the air at the north/south poles. The different in temperature of the air masses changes their pressures and makes them move. Keep an eye out on your local weather station to see if there are low and high pressure systems that are frequent where you live.