What exactly is magic?
Magic is the use of energy to bring about subtle changes in accordance with the will of the user.
Where does it comes from?
Energy is part of the universe. It comes from everywhere.
What does it feels like to have it or to use it?
What it feels like differs from person to person
Can it be used for good, bad, or neutral intentions?
Magic (or energy) is neutral. Good and bad are moral judgments humans make
And does it involves flying in the sky with a broom stick or is that a misconception of magic?
Flying on a broom stick is a misconception, one of many.