Sheep are an important part of the economy of North Africa, Europe, and West Asia even today. They were much more important long ago. People wore clothes made out of wool from the sheep, and they drank milk from the sheep and ate its cheese and its meat (lamb is the meat of baby sheep; mutton is meat from grown-up sheep, which is tougher and harder to chew). People wove tapestries for the walls, and carpets for the floors, and blankets, all out of sheeps' wool.
Here's a video of some sheep baaing
Sheep generally wandered around from one place to another, through the villages and around them, looking for grass to eat under the care of a shepherd. Often shepherds were children, sometimes groups of children. Joseph, for instance, was out tending the sheep with his brothers when his brothers sold him to the Egyptian slave traders.
People hunted wild sheep from the beginning of the Stone Age, with stone-tipped wooden spears and wooden clubs. But around the end of the Stone Age, about 10,000 BC, some people in West Asia began to keep tame, domesticated sheep for themselves. Probably people began to herd sheep because there were so many people living in the area that wild sheep were getting hard to find. It's more work, and not as much fun, to herd sheep as to hunt them, but it is a more efficient use of land. If you started by catching a few lambs in nets, and raising them to know you, it would be easy to domesticate sheep.
At first people only kept sheep for their meat and their milk. These early sheep only had hair, like goats. They didn't have any wool to make into clothes. But as people began to breed sheep to make them more useful, they began to breed them with longer hair, and gradually sheep got woolier. By around 3000 BC, you could spin sheeps' wool and weave it into cloth. Even then, sheep had much less wool than they do today, after 5000 more years of breeding.
People also bred sheep to be much stupider than wild sheep, so they would be easier to watch over, and not try to get away. And they bred them to want to all stay together in one herd, which also made the sheep easier to watch over.
To find out more about sheep, check out these books from Amazon or from your local library: