Answer: This isn't really understood, because not all societies formed governments in the sense of western hierarchical systems, and not all governments formed under the same conditions. It is one of those mysteries, which means it was a gradual thing, and not a sudden seasonal change from anarchy to government. The first government accumulated within a group of people who spoke the same language, and there was some pressure on them that required some level of organization for the distribution of resources and labor, so it seems, but even as I write this I know that is far too simple.
For thousands of years it was believed there was a natural hegemony bestowed by divine power, then, there was the American Revolution and the idea of government was turned upside down. Following that was Karl Marx, who suggested that government was a mechanism of oppression to control the means of production and wealth accumulation, but all of the hypotheses built from this idea, which most of modern thinking can find some degree of lineage to, are problematic to be nice, and outright failures at the other extreme.
Quick answer is, there are a thousand answers, none of which have proven to be universal, so they are only partially right.
There is a lot of room for research in this area.
