Because the current generation of micromachines are made by the exact same techniques as the semiconductor microchips found in computers. In fact, one of the biggest advantages of MEMS is that they can be made using the same mass-fabrication techniques as computer chips. The more of them that can be made at one time, the cheaper each of them will be. This is part of the reason why the price of computers continues to drop. The fundamental idea is quite simple, and relies on the processes of lithography and etching.
Lithography is the process of laying down a pattern on a material, such as a flat piece of silicon.
Etching is then used to remove material as indicated by the pattern. Essentially, it is a physical sculpting of the material. And, the smaller and sharper the pattern, the smaller the devices one can sculpt. In a very small nutshell, that is what the entire semiconductor industry is based on. The development of MEMS is just beginning, and there is a lot of excitement over what new micromachines might be created in the coming years.