This is a rather complicated thing to explain so I'll try my best. To put it in simple term the sun has whats called a SOI (sphere of infleunce) and anything inside of this is effected by the gravity of that planet or sun in this case. The earth is inside of this sphere of influence. The earth has a constant velocity that is making it move away from the sun but since it's in the suns SOI the path in which the earth moves is changed in a way that causes it to spin around the sun. The same thing is happening with the moon. I'm not 100% sure on this but I think the reason the moon does not just fly away towards the sun is because it is closer to earth and is more effected by earths SOI. Hope this cleared things up for you.
