Pentium100's answer is quite complete, but I'd like to give a much simpler (though less accurate) explanation.
The reason becausewhy sinewaves have (ideally) only one harmonic is because the sine is the "smoothest" periodic signal that you can have, and it's therefore the "best" in term of continuity, derivability and so on. For this reason it is convenient to express waveforms in terms of sinewaves (you can do it with other waves as well, as well as they are \$C^{\infty}\$, infinitely continuous and derivable).
Just an example: why in the waterdo you usually see curved waves on water? (for thisthe sake of the example, ignore the effecteffects of the beach or wind) Again, it's because it's the shape that requires lessthe least energy to form, since all the ramps and edges are smooth.
In some cases, like the Hammond organ, sinewaves are actually used to compose the signal, because with decomposition is possible to synthesize a lot of (virtually all) sounds.
There is a beautiful animation by LucasVB explaining the Fourier decomposition of a square wave:
These images explain better the square wave decomposition in harmonics: