The earth we live on is covered with air. The air is invisible and has no shape, but it expands when the temperature rises and shrinks when the temperature falls.
When the air is warmed by the sun, it becomes lighter and rises. Conversely, air that is cooled and contracted above the sky becomes heavier and falls. When this happens, the rising air is followed by other air flowing in from the surroundings. Also, after the air descends, other air flows in from the surroundings.
This movement of air is what we feel as wind.

In reality, the air on earth is much more complex in its movements, but this is basically how you should remember it.