The idea was invented in Ancient China by Emperor Shun when he was hiding and his father, according to the story, set his hiding place on fire. Emperor Shun found some straw hats, attached them together and jumped out the window, using them as a parachute.
A parachute works because of air resistance. Air resistance is like in a swimming pool except it is invisible. Air resistance slows the parachute down from falling therefore slowing you down, breaking your fall.