The first Daleks arose just prior to and during the events of "Genesis Of The Daleks". The actual Dalek creatures were the final mutated form of the Kaled race placed into a travel machine patterned after Davros' life support wheelchair.
Susequent Daleks came about in different manners:
The Daleks in "The Stolen Earth"/"Journey's End" were created by Davros using cells from his own body and the Daleks (or the "New Dalek Paradigm") from "Victory Of The Daleks" came from a 'Dalek Progenator' after the Eleventh Doctor inadvertantly confirmed to it that the survivors of "Jorney's End" were, in fact, Daleks.
That is just two examples as there are more in the Classic Series.