Just follow the code :).
Before calling wp(), /wp-blog-header.php loads /wp-load.php (which assuming you have correctly installed WordPress) loads /wp-config.php. At the bottom of that file, it calls /wp-settings.php.
This file loads a lot of other files, initialising the core parts of WordPress. Amongst them, is the wp-includes/functions.php file. It’s inside this file that wp() is defined.
Once /wp-settings.php has finished loading all the files, wp() is then called – this ‘starts’ WordPress (interpreting the incoming url, processing it into a query, choosing a template and finally outputting the content and sending into the user.