As far as I can imagine, almost each celestial body, star, planet, solar-systems, galaxies do rotate on their center. Where this come from ? Is it the normal work of gravity? And why Venus has a retrograde rotation? (Or, why all the solar systems rotate in the same way - except Venus?)
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Solar system started out as a nebula of gas that was contracting under its own gravity. It is highly unlikely that all angular momenta of its particles around its center of mass would have summed up to exact zero, so it had some non-zero total angular momentum. Due to the conservation of total angular momentum, as the nebula contracted, the speed of its particles, now closer and closer to nebula's center of gravity become larger and larger. In collisions which gave birth to larger dust particles, asteroids and eventually planets, total angular momentum is preserved as well. This way you end up with a planetary system in which planets and asteroids orbit around the central star.
As for Venus's retrograde rotation, it is currently thought it may be an outcome of perturbations and tidal forces exerted on it by the Sun and Earth.