Cav is more than likely correct, badboy. The Irish are quite fey, you know. I'm not certain if a banshee qualifies as a fairy, nor the beginning of the legends, but they are, none the less, an integral part of the stories.
Just guessing, but I think perhaps that fairies began when man created them. We used to call the spores of the dandelions, fairies. We would blow on them and send the tiny things into the air and then make a fairy wish.
Here's an interesting link about the creator of Sherlock Holmes:
http://www.chriswillis.freeserve.co.uk/cottfair.htm