When we were first introduced to the Buffy character, she was an only child and she remained that way for quite a while. However, Dawn, Buffy's sister was suddenly introduced into the Buffyverse. She was not born a baby girl; in fact she's supposed to be just a few years younger than Buffy. Later it was revealed that Dawn is not in fact a normal human being, but a physical shape given to a mystical device called "the key". This key is supposed to be a catalyst that enables the bridge between dimensions.

"They had to be certain the Slayer would protect it with her life. So they sent the Key to her in human form… in the form of a sister."

-Spike.

A group of wise monks created the human form of Dawn to hide the Key from the reach of Glorificus (an evil goddess) who was trying to create an entryway to her home dimension. If she succeeded in creating this portal then the structures that separate earth from hellish universes would be torn down resulting in the destruction of reality as we know it. Of course, Buffy stops this from happening, but sacrifices herself in the process.