There are two ways of looking at the wind and where it comes from. One is in terms of your immediate neighborhood, and one is in terms of the world and the big winds that blow over it.
Differences in pressure may exist in a small region around us, and you will have a local wind blowing. If you live near the shore, you have an example of this every day.
During the day, the land becomes heated, the air above it rises, and cool winds come in from the water to take its place. At night, the land becomes colder than the water, the warm air rises over the water, and the breeze blows out from the land to take the place of the rising warm air.
What is true in your immediate neighborhood is true on a much larger scale of the winds that blow over the earth. The warmest place on earth is around the Equator. So there is always a belt of warm air rising from this region.
This belt of warm air flows out to the north and south and sinks again at certain latitudes, which are called the horse latitudes. This sinking air flows out along the surface of the earth toward the Equator and the Poles.
If the earth were not rotating, these winds would be north winds or south winds. But the spinning of the earth makes all winds in the Northern Hemisphere deflect to the right and in the Southern Hemisphere to the left.
The winds blowing from the horse latitudes toward the Equator are called the trade winds. Those blowing toward the Poles are called the westerlies. The United States is largely in the zone of the westerlies.
There are other prevailing or common winds in other parts of the world. But as you can see, the wind does come from somewhere – and it comes from there because of very definite reasons caused by the way the air over the earth is heated.
Read: What Is the Jet Stream?