This article explains it very well.

Here's a shorter version of the story: some viruses exist as virions, ie. the virus itself is hidden within a little envelope of phospholipids. On the surface of this envelope, there is a protein called syncytin that can merge cell membranes (also made of phospholipids). Its role is to fuse the virion with the cell membrane so that the actual virus inside the virion can trojan horse itself into the cell and infect it. Infection consists of the virus releasing its DNA in the cell's cytoplasm, turning the whole thing into a virus factory. Sometimes, the virus' DNA gets fused together with the host cell's DNA. When that happens, that's what you'd call a retrovirus.

Now, At some point some 200 million years ago, for some freaky joke of nature, a virus entered a mammalian egg cell, transitioned into a retrovirus, that egg cell got fertilized, and the result was a mammal that could produce its own syncytin and thus have the ability to merge cell walls. That allowed for the evolution of a structure known as syncytiotrophoblast, which develops on the point of contact between the embryo and the womb and is basically created by many embryonic cells merging together into a single cavity. The whole point of this structure is to act as a buffer zone, allowing nutrient exchange between the mother and the embryo while at the same time preventing the mother's immune system from reaching the embryo and killing it. Thus the placenta was born.