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Mammals evolved from a group of reptiles called the synapsids. These reptiles arose during the Pennsylvanian Period (310 to 275 million years ago). A branch of the synapsids called the therapsids appeared by the middle of the Permian Period (275 to 225 million years ago). It was over millions of years that some of these therapsids would evolve many features that would later be associated with mammals.
It's impossible to know from which of the reptiles the first mammals evolved. The hallmarks of today's mammals - hair, warm blood and milk-producing glands - do not fossilize. We know that some dinosaurs, such as the Stegosaurus and Dimetrodon, supported large plates or sails of skin, developed to function as solar panels, absorbing the sun's heat for quick mobilization. However, during the period of dinosaurs, some of the sail-backed pelycosaurs (which includes the Dimetrodon) lost their sails. Even acknowledging a warming period ensued, it would be improbable that such an effective heating mechanism would be lost through evolution unless a more efficient method of heat control had evolved to replace it. It is therefore reasonable to supposed that the pelycosaurs and their successors, the therapsids, were to some degree endothermic. The therapsids, being only three feet long, would need some form of body insulation if it was to be effective. Thus, it is reasonable to conclude that some of these creatures were covered in hair, or fur.
http://www.bobpickett.org/evolution_of_mammals.htm
Don’t know if you know this, but some random dudes blog is not a peer-reviewed scientific journal either.