In simple terms soap consists of two parts. One is hydrophobic and one is hydrophilic. So one is repulsed by water and the other isn't. The film that makes the bubble has three layers. A thin layer of water is sandwiched between two layers of soap molecules. Each soap molecule is oriented so that its hydrophilic side faces the water, while its hydrophobic side extends away from the water layer. Following this so far?
If so, then the reason if forms a spherical bubble, is because that has the lowest possible surface area. This means it needs less energy to be formed.
Water is actually part of the bubble. So it does form bubbles, it just can't on it's own.