Think of the solar system as a cosmic building site. When God made the planets, he had a lot of bits left over. When he had finished, he did not sweep them up. They range in size from dust particles to objects hundreds of miles across. They float about in space between the planets, sometimes crashing into them.
Small crashes happen all the time.
Rocks that burn up in the atmosphere without hitting the ground are called meteors or shooting stars. Every shooting star is a tiny bit of space dirt, just a few millimetres or centimetres across, which ends its life in a bright streak as it evaporates in the Earth's atmosphere. For a dust particle, I guess that that is a pretty cool way to go. Bigger crashes are not as common. Objects that reach ground level are called meteorites.