This has always been a mystery of my life, I finally remember to Google it.

How does an orb web spider make its web? The most difficult part seems to be the first thread.
Does the spider fly?
Does she throw a line to the other side?
Does she walk down and up at the other side carrying a thread that she attaches between the two sides?

No, none of these ideas are true. The solution is simple. The spider releases a sticky thread that is blown away with the wind. If the breeze carried the silken line to a spot where it sticks the first bridge is formed.
The spider cautiously crosses along the thin line reinforcing it with a second line. She enforces the line until it is strong enough.

Reference: http://www.xs4all.nl/~ednieuw/Spiders/Info/Construction_of_a_web.html