How does gravity form in space?

The common phrase «zero gravity» is misleading. Gravity is a property of mass itself: in Newton's description, every mass attracts every other mass with a force that falls off as the square of the distance; in Einstein's, mass and energy curve spacetime and objects simply follow the straightest available path through that curvature. Neither description has a boundary beyond which gravity stops. It weakens with distance, but it never disappears, which is why the Moon stays bound to the Earth and the Earth to the Sun across enormous gaps.

At the altitude of the International Space Station, about 400 km above the surface, the Earth's gravitational pull is still close to 90 % of what it is at sea level. An astronaut there weighs almost what they would weigh on the ground, if you could put them on a scale that was not itself falling.

What orbit removes is not gravity but the floor. A spacecraft in orbit is in continuous free fall: it moves sideways fast enough that, as it falls towards the Earth, the surface curves away beneath it at the same rate. The station, the astronaut and the loose pencil all accelerate identically, so nothing presses against anything else. The correct term is microgravity or free fall, and the same state is briefly reproduced on parabolic aircraft flights and in drop towers.

Because gravity cannot be manufactured, engineers substitute acceleration for it. Spinning a structure pushes occupants against the outer wall, and the resulting centrifugal effect is indistinguishable from weight for anyone inside. Constant thrust would do the same. Neither has yet been used for crew on an operational spacecraft, so the practical countermeasures aboard the ISS remain resistive exercise and treadmill running with harnesses to limit bone and muscle loss.