we believe that we lived with our Heavenly Father with spirit bodies. He is our spirit Father and He created our spirits. We call this time the "Pre-Earth Life" or the "Pre-existence." Everyone who has ever been on Earth, is going to be on Earth, and even a few others besides that lived with us as our spiritual brothers and sister. 
 
I hope this helps

We are part of and came from a Heavenly Family. We lived as children of God before our birth into mortality. This life is a temporary existence, but we are part of eternity. We will continue on after death in the world of spirits. At some point our memory of our pre-earth life will restored and we will know more clearly who we are, where we came from, and where we are going.

We are co-eternal spirit children of God. 
 
There is two main LDS teachings about where we came from and I will present them both briefly. 
 
1) We are the spiritual offspring of God and his wife. I personally believe God has a wife but I don't know if I believe that if our heavenly mother birth every spirit. It could be true but it seems to make no sense to me (but then again I am only a man and we can't understand God fully) 
 
2) We are made up of energy called intelligence. God made our spirits from this intelligence and it is house in a tabernacle of clay when we are born.  
 
There is no general consensus on these two theories and there is no scripture confirming either on just the teaching of church leaders.  
 
In our Church a teaching is not automatically accepted as inspired of God it has to be approved unanimously by the General Authorities and then sustained by the membership.  
 
Neither of these teachings are Official policy or doctrine of the LDS Church. Meaning eitherof them, both, or neither could be correct.  
 
Remember that God will only reveal what he wants us to know and that knowledge of all things will never happen until after the Resurrection and Judgement of mankind when the veil is finally lifted from our premortal memories!