We believe that Jesus Christ is Heavenly Father's Only Begotten Son of the flesh. Mary was his mother. How that happened other than by the power of the Holy Ghost - we don't know and we choose not to speculate. 
 
We are all God's (Heavenly Father) sons and daughters who are begotten from him spiritually. This means that we were created spiritually - in what we call the pre-existence - before we came to earth. More information about this - what we call the Plan of Salvation - can be found here: http://lds.org/ldsorg/v/index.jsp?locale=0&sourceId=45af9daac5d98010VgnVCM1000004d82620a____&vgnextoid=bbd508f54922d010VgnVCM1000004d82620aRCRD