These multisig tx can come from everywhere. Everyone is free to create such a tx.
Your question cannot be easily answered in one step, so a good reading would start here:

https://bitcoin.org/en/developer-examples#p2sh-multisig

and also in Andreas' book "Mastering Bitcoin". (it is online available/readable).
There are two types of multisig tx, each having different aspects, but the "P2SH" version with a redeem script should be used nowadays.
The idea behind a multisig transaction is, that you use two or more signatures, to make the transaction valid.
You can compare this to a cheque payment, which needs to have two (or more) signatures to be accepted by your bank.

How to create such a tx: as per the reading above, that also depends on your wallet. Assuming bitcoin core, Gavin gave one of the first examples:

https://gist.githubusercontent.com/gavinandresen/3966071/raw/1f6cfa4208bc82ee5039876b4f065a705ce64df7/TwoOfThree.sh