Feather evolution & structure I. 

Advanced feathers are light and strong. Their structure is mesh, like a wire fence. There are thousands of tiny branches that cling to each other with hooklets.

Stages of feather evolution. Source: David E. Fastovsky and David B. Weishampel, 2009.

Feather evolution & structure II. 

The birds’ feathers formed from the scales of prehistoric reptiles. The first primitive feathers appeared on non-avian dinosaurs.
This simplified figure shows the different integument types in certain dinosaur groups according to the fossil record. Source: Gustavo M. E. M. Prado et al., 2015.
Theropod dinosaurs, among which the immediate ancestor of birds can be found, and also many members of other dinosaur groups had some kind of feathers. This shows that feathers evolved much earlier than birds themselves!
The dinosaurs did not use their feathers for flying, the primitive feathers were not suitable for it anyway. They might had a role in increasing the attractiveness of the animal, in camouflage, and in insulation.

Guanlong wucaii, Theropod dinosaur with a coat of primitive feathers. Picture by Durbed, 2012.
Serikornis, an Upper Jurassic feathered dinosaur closely related to birds. Reconstruction by Emily Willoughby, 2017.
Kulindadromeus zabaikalicus, feathered ornithischian dinosaur. Drawn by Tom Parker, 2014.