Who, what, where, when, why, how. Why so many "Wh"s?

These are all interrogative words so there is nothing weird that they all share the same prefix "wh".

And actually there are more than 600 English words that start with "wh", even there is a history for "wh", there won't exist a strong connection between that history and the set of interrogative words.

From Wikipedia:

Early history of ‹wh›

What is now English ‹wh› originated as the Proto-Indo-European consonant *kʷ. As a result of Grimm's Law, Indo-European voiceless stops became voiceless fricatives in most environments in Germanic languages. Thus the labialized velar stop *kʷ initially became presumably a labialized velar fricative *xʷ in pre-Proto-Germanic, then probably becoming *[ʍ] in Proto-Germanic proper. The sound was used in Gothic and represented by the symbol known as hwair; in Old English it was spelled as ‹hw›. The spelling was changed to ‹wh› in Middle English, but it retained the pronunciation [ʍ], in some dialects as late as the present day.

Because Proto-Indo-European interrogative words typically began with *kʷ, English interrogative words (such as who, which, what, when, where) typically begin with ‹wh›. As a result of this tendency, a common grammatical phenomenon affecting interrogative words has been given the name wh-movement, even in reference to languages in which interrogative words do not begin with ‹wh›.

As an appropriate greeting to another new user, Whæt ho! The wh-/qwa- consonant is Germanic in origin; it's a standard sound in OE and ME. Full OED details below. Someone else can do a proper commentary I'm sure.

Etymology:

Old English hwā = Old Frisian hwā, Old Saxon hwe, hwie (Middle Dutch, Dutch wie), Old High German hwer, wer (Middle High German, German wer), Old Danish hwa (Danish hvo), Gothic hwas, feminine hwo < Old Germanic *χwaz, *χwez < Indo-European *qwos, *qwes. For oblique forms see whom pron., whose pron. For the vocalism compare two adj., n., and adv.

Indo-European qwo-, qwe-, qwā- are represented outside Germanic by Sanskrit ka, feminine kā, neuter kad (what pron., adj.1, adv., int., conj., and n.), Avestan kô, kâ, kat, Lithuanian kàs, Old Church Slavonic kŭ-to (Russian kto), Greek πότερος, Ionic κότερος, etc., Latin quī, quæ, quod, Umbrian poi who, Oscan pod what, Old Irish cia, cé, cad, ca-ch any one, ca-te, co-te what is, Welsh pwy who, pa what, paup any one, Gaelic co who; the variant qwi- is represented by Sanskrit kis (interrog. particle), cid (indef. particle), kim what, how, why, etc., Avestan čiš, Greek τίς, τί ( < *τίδ), Latin quis, quid, Umbrian sve-pis if any one, Oscan pis, pid, Old Church Slavonic čĭ-to what (Russian čto), Irish, Gaelic ciod. For the stem-types as represented in derivative formations in English see when adv., where adv. and conj., whether pron., adj., and conj., which pron. and adj., whither n.1, whon n. and adj., why adv., and how adv.

Adding on to what Nicholas, Kosmonaut, and Jamie have said, here are some examples. Hindi is a language that is mainly derived from Sanskrit. English and German are Germanic languages.

English         German       Hindi
What            Was          Kyaa
When            Wenn         Kab
Where           Wo           Kidhar/Kahaan
Who             Wer          Kaun

Perhaps someone can add a column for other languages from the same family tree.