Zachary asked me that question, so with a little Internet research, here you go -
"Did you know that it's only female mosquitoes that bite you? They eat mostly nectar, but when it's time to make eggs and lay them, they need to eat protein (aka - your blood). When the mosquito stabs her needle-like mouthparts through the skin of her victim, she injects her saliva, teeming with digestive enzymes and anticoagulants to help her drink more quickly. Your body sees that as an enemy and produces histamine to ward off infection. That little pink bump left on your skin is an allergic reaction to the mosquito's saliva. (Hence, it itches because it is a foreign body invading our bodies.