Where did that thing that jews where on there head originate from?

It's called a yarmulke. See:

Kippah - Wikipedia, the free encyclopedia

And

Kippah

Yarmulke - pronounced Yah-Ma-Keh

Its use is varied by different sects of the Jewish faith and the reasons for its use are also as varied. One of the more common reasons is it is a sign of Piety as God is always over your head. Other Jewish scholars have suggested it was to distinguish Jews from non-Jews.