Mormons believe that that Jesus Christ is the only begotten Son of God in the flesh. At the same time He is the first spirit child of our Heavenly Father. Our spirits are also spirit children of our Heavenly Father according to Mormon doctrine. Therefore, we are all children of our Heavenly Father in the spirit (Heb 12:9). In this sense we are all brother and sisters and Jesus is our elder brother in the spirit.
Mormons believe that the universe and everything in it has an eternal existence and everything has been created from something. (The universe didn't just pop up out of nothing.) Therefore the creation is rather a question of organization. This also applies to our spirits and the spirit of Jesus. In this sense, Jesus is eternal and the spirits of mankind are also eternal. We all have been created from spiritual matter which is in LDS terms sometimes referred to as intelligence.
As Jesus plays the special role of being the only begotten Son, He inherited some traits from our Father in Heaven, such as power over death and knowing all things (as is evident from the new testament). Before He came to this earth and received a mortal body, Jesus existed in a premortal existence as everyone of us did. In this premortal existance He created the earth and the rest of the universe under the direction of God, the Eternal Father. Jesus Christ is considered the Jehova of the Old Testament by latter-day saints. In many (most) instances, it is Jesus acting in proxy for our Heavenly Father.
However, Jesus Christ and our Heavenly Father are distinct being with different roles but with the same goal and purpose which is the eternal wellfare of the souls of mankind. The role of our Heavenly Father is He is the Eternal Parent of our spirits, that He is the director of all things (though delegating many things to His Only Begotten). The role of Jesus is that of a mediator who atoned for the sins of mankind to blot our all our transgressions against the law of God.
There is a good talk by an apostle of the Church of Jesus Christ of Latter-Day Saints about this topic here.