Related Question: How were the Pyramids Built?
This question is very much related to the one I answered about Pyramids. I even reference a site in that answer that is relevant to this question. In particular, they have a very nice description of the site, and history behind it. And they go over how those stones were moved. The video from Scott Hamilton's comment also shows that this is much easier than people suppose.
Stonehenge is a very well studied site. We know where the materials came from. We have a very good idea of how it was used. And we are constantly refining our understanding of the site.
Okay, so what is the point of all these links? Well, just to expose the argument from incredulity. Just because an individual is unable to imagine how something was done, does in no way mean that their hair-brain idea of how it was done has any more credibility. Too many people assume that because ancient people's didn't have TVs and Airplanes, that they were dumb. Nothing could be further from the truth. They were just like you and me. Perfectly capable of figuring things out within the context of their upbringing. And since they didn't have TVs and Xboxes to distract them, and were very focused on survival, they had a very detailed record of astronomical events (Stonehenge being a giant clock amongst other things) to help them know when to plant crops, or get ready for colder days.
Furthermore, there is absolutely no evidence anywhere on this planet for any advances species from other planets ever having visited us. As much as I would LIKE to have evidence of such, it just doesn't exist. In light of what we know of physics and interstellar distances, such a visit will in most likelihood never happen either (and if it should, there would be no doubt about it).