Electricity is made or generated in a power station.
The process starts here
Power stations usually burn coal, oil, gas, or other to boil water into steam.
The steam then rushes along huge pipes in the factory to then hit the blades of a wheel (called a turbine) to whirl it and generate it. The steam whirls the turbine around extremely fast.
As it spins, it turns a large amount of coil of copper wire between the sides/poles of a huge magnet. This is a generator. The magnet's immense powers starts to drag tiny energy bundles, called electrons, through the rapidly spinning wire. The electrons create a flow of electricity called an electric current through more special pipes.
As the current from the actual power station is too weak on its own to reach our houses and appliances, it gains more energy and strength by going through an object called a 'transformer'.
As the current is multiplied (or "stepped up") it becomes dangerous to handle with, which is why it is sent through huge cables either buried safely underground or...