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Because it's in something called an orbit.

Imagine you're standing on earth, and you throw a rock so fast that it the earth curves away beneath it so that it misses the earth entirely. Just like that, it keeps falling towards the earth, forever, but keeps missing it. It's why objects in orbit are said to be in "free fall." Techincally, we are falling towards the sun, but we keep missing, and now we just spin around it in an elipse.