The orbits of the planets are coplanar (in the same plane) because supposedly during the Solar System's formation, the planets formed out of a disk of dust (ha, ha) which surrounded the Sun. Because it was a disk, all in one plane, all of the planets formed in that one lousy plane as well.
Single rings and disks are common in astronomy. Jupiter's moons are coplanar too.
The common explanation is that orbits are unstable and they all eventually tend to get into the same plane and stay there. Wouldn't it be fun to have a planet orbiting the Sun at a right angle to the other planet's orbits? You'd never know when the damn thing's going to hit what.