The idea that we do not have our own free will is a notion that runs so deeply and disturbingly counter-intuitive to the way we tend to think of ourselves that it seems completely absurd... I mean, I choose to do something and then I do it, right? It seems like a no-brainer.
But in his new book titled, Free Will, and in this lecture, Sam Harris describes how that is most likely an illusion. From what I gather from his lecture, the genes that were passed down from your parents that make up your body, the millions of neurons in your brain, and the sum total of your experiences and influences all work together to create a picture of yourself that feels very much like "I" or "me". But since this "I" is not separate from the brain and its individual chemistry thanks to its genes, this "I" will act exactly how its individual brain is wired to act and shaped to act through experiences.
If that sounds like complete nonsense, watch the lecture and Sam Harris describes it much more eloquently. The lecture itself runs about 55 minutes and the Q&A afterwards runs about 20 minutes.