Start with Newton's First Law of Motion
Quote:
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Every object in a state of uniform motion tends to remain in that state of motion unless an external force is applied to it.
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This basically means that Mercury will continue moving through space until something exerts a force on it. The gravity of the sun pulls it in, but it already has a significant "forward" (or sideways, if you will) motion and therefore goes into an orbit. In other words, it is constantly "falling" into the sun, but it also is constantly moving forward. The end result of these two orthogonal forces is a circular orbit.
This is a
very basic interpretation, but you get the idea.
Check out this website for more interesting info:
http://curious.astro.cornell.edu/index.php
Mr Mephisto