As the person who inadvertently started this spate of 'why' threads, perhaps I should answer...

Over a huge period of time (long enough to be difficult for most of us to comprehend) complex chemical reactions have taken place on earth. Over huge periods of time, these chemical processes have resulted in the earth's current atmosphere, which we call 'air.'

For further information, you might like to refer to this article in Encyclopaedia Britannica, which gives a lot more detailed information on the earth's atmosphere. click here

The word itself has a complex history, but seems to originate from the greek word 'aer' meaning breath.

I hope this is of help

Ed