All things with mass have a tendency to keep moving once they get started—they have inertia. The first law just tells us why they stop moving.

If you think this sounds backwards, you're not alone. It's very reasonable to assume that it's "natural" to stop since things around us generally come to rest. But they come to rest, not because it is their nature, but because there are forces opposing their motions. When you get rid of these forces, the motion never ceases. The earth's orbit is a good example, don't think?