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If you are baffled, do not worry. Scientists were too when they realized that the Sun, the Moon, our planet and its siblings did not actually come from a Milky Way Galaxy but from a strange formation called the Sagittarius Dwarf Galaxy.
Scientists were confused about a huge part of "our" galaxy, when they finally realized that Milky Way is consuming one of its neighbors (galactic cannibalism).
The study was published in the Astrophysical Journal and it is the first study which mapped the full extent of the Sagittarius Galaxy, showing in great detail how its debris wraps around and passes right through Milky Way. Sagittarius is 10,000 times smaller than the galaxy the Earth belongs to now and thus, it is getting stretched out, torn apart and gobbled by the bigger Milky Way.
http://digitaljournal.com/article/199423
For decades, astronomers were puzzled about why the Milky Way is at an angle. The theory behind their thinking was that if our planet really did originate from the Milky Way we would be oriented to the galaxy's ecliptic, with all of the planets aligned around the Sun in the same angle as our Sun is aligned to the Milky Way. However, the angle suggests that our Sun is actually influenced by a completely different system. In conclusion, our 'home' galaxy is the Sagittarius Dwarf Galaxy, not the Milky Way!