We believe that we existed as spirit children of our Heavenly Father before we came to the earth. We call that our pre-existent life. In the pre-existence we learned, developed, grew and were given our freedom to make choices. One of the choices was to come to earth to be learn, grow, develop some more and to be tested. When we come to earth our spirits are given physical bodies. When we die our spirits leave our bodies and go to what is called the Spirit World. After that is the resurrection and then is the possibility to live eternally with our Heavenly Father. 
 
That's just a quick, quick summary. 
 
Here is a weblink with much better explanation: Plan of Salvation