Sarah Albert at WebMD says that superstitions start when a ritual or belief is given magical significance. For instance, if a woman believes that a black cat crossing her path means she has to go back home and start over or suffer bad luck, she follows a superstition. Superstitions spread when they "work," and other people repeat them.
Humans have always sought answers about, and control over, their environment. Without the scientific framework humans use today, ancient humans looked for meaning in everything. If, for example, a hunter successfully killed his prey twice in a row while wearing a certain medicine bag, he might be convinced the medicine bag makes him a better hunter. This can be a self-fulfilling prophecy, as such beliefs can make one more confident.
In general, superstitions are harmless. However, they can be dangerous when misused, as in when they provide a convenient means for blame when things go wrong — the lost potency of the medicine bag is blamed when it was really a bad choice by the hunter that led to the loss of his prey. This sort of misuse is still seen when parents eschew modern medicine for their children in favor of homeopathic medications, faith healing or New Age remedies. When the medication fails, it's assumed that their faith was not strong enough or that modern medicine would have failed anyway. When the child gets better, the story spreads and the superstitious treatment is given undeserved credit, cementing irrational ideas in the minds of others.