There's a rule in physics called the law of the conservation of energy. Energy can neither be created out of nothing, nor disappear into nothing, all it does is change forms. That sounds simple, but it confused people for a long time.
To see why, let's think of an easy example, and then a harder one. You roll an eight ball across a billiard table. When it hits the cue ball, the cue ball starts moving and the eight ball stops. Why? Because the kinetic energy you put into the eight ball with your hand has been passed into the cue ball. Notice that no energy is lost, it just traded places.
Okay, that was easy. Now suppose you see a car going down the street at a constant speed. Suddenly the driver slams on the brakes. The car comes to a halt. Where did the energy go? Unlike the eight ball situation, the energy seems to have vanished! In fact, we now know that the energy merely changed forms.
When the driver hit the brakes, what else happened? For one thing, there was a loud screeching noise. That's kinetic energy being converted into sound waves. The brakes and the skidding tires became hot. That's kinetic energy being converted into heat. Pebbles were knocked out of the way. That's a mini-version of the billiard balls, or kinetic energy being passed from one object to another.
All these little outlets add up to exactly as much kinetic energy as the car had in the first place. It works out just the way the law of the conservation of energy says: energy can change forms, but can't ever disappear.