I have 2 theories. In one they are the product of the electrical activity of the nervous system. In humans this electrical activity became so complex that the brain became self aware. In my other theory, the brain is like "hardware". The mind/consciousness is the "software". This software could have been "downloaded" into us at the time of birth. These "software" exists in a different realm which we could access in an altered state of consciousness. Have you heard about the Egyptian "ba"?