They're from the Delta Quadrant of the galaxy, no-one really knows for sure how or why they were made (except possibly the Collective itself...) although there are various theories. They want to expand to achieve perfection by assimilating other cultures and technologies into the Collective.   

1 of the theories is that the old human satalite probe "Voyager" had flown all the way to the delta quadrant when the next phase of the programming started, return home where you were made.

It's not sure how or why but some race must've stumbled across the probe (now V'ger due to the loss of paint) wich interpeted with return to the makers. Somehow the old earth tech got an AI and started to absorb and grow so that the makers would be proud of it when it returned home. Thats been said to be the start of the borg.

I dont know of any other theories tho, but I'd guess there are more...
Like a race tried to enhance their boddies with machinery and some queen biatch hijacked everyones brain and started to act like a biatch and wanted the entire place for em selves.

Anyway I guess there is a lot of theories possible

http://memory-alpha.org/en/wiki/Borg

Borg.

This video is already in the Borg Ship Construction Thread.

Here: http://www.fleetops.net/component/option,com_smf/Itemid,3/topic,3734.30/