Ash and sackcloth were used by the Jews as a sign of serious repentence, and the christians applied ash on their foreheads on ash Wednesday.
Burnt Palm Leaves
The ashes are burnt from the palms of the past year's Palm Sunday and they represent the sin that we have and the death that we will face (as in "for dust thou art and unto dust thou shalt return"...
Traditionally the are made by burning surplus palm leaves from the preceding Palm Sunday.
because the palm trees are burnt so the ashes can be put on religious peoples foreheads.