The Harmonica is a wind instrument and its sounds are produced by free reeds. There are two main models - the crhomatic and the diatonic harmonica.
The harmonica has in its embouchure a set of holes through which the player blows or suckis in the air, making the metal reeds, which are fixed in a groove, vibrate.
The harmonica is originated from an ancient chinese instrument named Sheng. Made out of bamboo reeds, it has existed for centuries in some regions of China.
Sheng, chinise instrument precursor of the harmonica
It was the developed as we know it, in the late 18th century Germany, by the watchmaker Christian Buschman.
Watch the video and you'll be able to hear the sound of the harmonica.