A woman's uterus prepares itself for pregnancy every month by creating a lining of tissue on the inside of the uterus. This lining is essentially a cushion for the fertilized egg to attach to. Your ovaries, which lie above the uterus produce fertile eggs and release one (or more) each month. If there is no fertilized egg, our bodies expel that lining.
That's the short version. Here is a website with detailed information
http://uk.clearblue.com/menstrual-cycles-and-ovulation