Why do planets orbit in the same direction?

This is simply the result of the initial rotation of the cloud of gas and dust that condensed to form the Sun and planets. As gravity condensed this cloud, conservation of angular momentum increased the rotational speed and flattened the cloud out into a disk. Hence, planets that formed within this disk of material all ended up orbiting the Sun in the same direction, in almost the same orbital plane and with the same spin direction (apart from Venus and Uranus which were probably hit by other bodies, altering their spin).