They are made from the skins of oranges, either by chopping the skins up and letting them soak in the alcohol, then straining them out, or by creating an essence of the orange skin oil and then adding that to the alcohol. Usually skins of bitter oranges are used, but some such as Cointreau also add some skins from sweet oranges.
Some orange liqueurs are very sweet, some are drier. Different brands have different proof strengths.
See also: Grand Marnier Day