Maryam- That's a very deep question. It's very hard to answer fully even for professional physicists. It's still harder to answer for even a very advanced 10-year old such as you. Here's my best effort.
My basic argument will try to capture some of the feel of a fundamental theorem due to Emmy Noether. (see http://en.wikipedia.org/wiki/Emmy_Noether
) It implies that if the laws of physics don't change in time, then energy must be conserved.
Let me give an easier example to picture first.You may know that momentum also doesn't change in time, so we say that momentum is conserved. Momentum is a measure of how much mass is moving how fast which way. If you have a bunch of balls bouncing off each other on a table, they trade momentum back and forth as they bounce but the total doesn't change- so long as the table is flat. If the table is tilted, the ball will gain momentum in the direction of the downward tilt.
Now energy isn't as easy to picture as momentum. Hidden under the appearances, energy is the rate things (quantum states) change in time. So long as the the laws of physics don't change in time, neither will energy. That's sort of like how, so long as the table isn't tilted in space, momentum on it won't change.
That explanation has managed to be too hard and too sloppy at the same time. If anybody has better suggestions, we'd love to hear them.
(published on 10/24/11)