The rain starts at the sea. As the sun heats the surface of the ocean, some of the seawater will turn into water vapour and then rises up into the air.
As it rises, it cools and turns back into water droplets. As more water droplets develop these eventually turn into clouds. The droplets then join together to make larger drops and eventually fall as rain.
Some of the rain is soaked up by the land, but a lot finds its way back to the sea and this is known as the Water Cycle. The water cycle involves all the water on Earth. Water vapour can also rise from lakes and rivers aswell as the sea to form the clouds in the atmosphere.
Some rain never reaches the ground though, as some of the raindrops turn back to water vapour as they hit a layer of super-dry air. You can actually see the drops falling like a curtain from the cloud, but the curtain stops in mid-air. This type of weather is called Virga.