In short, all winds are created by the sun. In some places more energy coming from the sun is absorbed than in others. The surface gets hotter and starts warming the air above it. As you know, warm air is lighter, so it starts rising. At the surface air from other areas comes to replace it - thus you get surface winds. But the air that is rising is in turn pushing away the air that has been there before. Also, it is cooling down as it is rising and all the time it remains in the stratosphere. After some time it becomes heavier and starts descending towards the surface. Thus the cycle is closed.
The area where the air is rising is called a cyclone and the area where it is descending iis called an anticyclone.
