While I think your question may be problematic to some because they are very weary of the "why" question, because physics can only go so deep, I recognize that it is hard to just accept a causal relationship between things that seem arbitrarily related, so lets try to look deeper.
A magnetic field is caused by a moving electric charge correct? The moving electric charge causes an increase in the electric field in front of it and a decrease in the electric field in back of it, and these changes create a magnetic field, but let's go back to the charge.
Let's imagine that this charge is moving extremely fast, at relativistic speeds even. Next to it and parallel to its motion is an infinitely long wire with current flowing through it, a lot of current too. Let's say that the electrons in this wire are moving just as fast as the electron, and in the same direction. We could even imagine them with race helmets on, racing each other off to infinity.
Now this wire is electrically neutral, for every electron in the wire there is a proton, so the electron traveling alongside should feel no pull towards the wire or a push away. However, this is all from our perspective. To us the electrons are moving fast, but what about to them?
According to relativity, they have every right to say that they are not moving. What looked like racing hats to us were actually top hats, and they were sitting down having some tea while we zoomed by at nearly the speed of light. Now we would look sort of funny, because the effects of relativity cause us to look squashed. This is important, because we would not be the only things zooming past the electrons.
The protons in the wire as well would be zooming past them as well. The same relativistic squashing happens with them, but this time it's more important. The relativistic length contraction not only squishes the protons, but because it is a whole column of protons moving past them, the column squishes as well, increasing the positive charge density of the wire. The electron feels the effect of this increased charge density as a pull inwards and so it drifts closer to the wire.
We see this in our frame as well and are perplexed, why would the electron feel a pull from the wire? We see no excess charge in the wire, so we ascribe this effect to a different force, the magnetic force. However, from the electrons reference frame, this behavior is perfectly normal, the protons moving past him are closer together than the electrons standing still and the electric force from the wire pull him closer.
This is kind of what magnetism is, electricity's compensation for relativity. For if magnetism didn't exist, we would see the electron attracted to the wire, for no explainable reason. Magnetism is sort of the relativistic form of electricity.
As for them interacting and causing each other, this must happen or else other laws of physics could possibly be broken (or you would have a meaningless thing like a force from nothing). This is a comforting example of how a part of physics holds itself up by itself.
Best Answer
Virtual photon clouds are responsible for potentials, not electric and magnetic fields, and this is what makes the explanation of forces in terms of photon exchange somewhat difficult for a newcomer. The photon propagation is not gauge invariant, and the Feynman gauge is the usual one for getting the forces to come out from particle exchange. In another useful gauge, Dirac's, the photons are physical, and the electrostatic force is instantaneous.
When you have a solenoid, the photons are generated by the currents in the solenoid, and a charge moving through this virtual photon cloud has an altered energy and canonical momentum according to the distribution of the photons at any point in space. The effect can be understood from the current-current form of the interaction:
$$ J^\mu(x) J^\nu(y) G_{\mu\nu}(x-y)$$
Where G is the propagation function, and the current J is the probability amplitude for emitting/absorbing a photon. The propagation function reproduces the vector potential from a source J, as it acts on another source J at another point.
There is no difference between classical sources producing photons and classical currents producing a vector potential--- they are the same. The electric and magnetic field description is not fundamental, and the gauge dependence of the photon propagator is just something you have to live with.