The steering wheel is on the side closest to the center of the road so the driver can see the opposite-direction cars better.
Countries that drive on the right have the steering wheel on the left and vice versa.
Now, about why some countries drive on the left and why others on the right, there seems to be reasons for both of them. You have several cases in this link.
(...) in an LHD car with manual transmission, the driver has the right hand, which for most people is dominant, on the steering wheel at all times and uses the left hand to change gears and operate most other controls.
With or without legal rule, traditionally the left side was used for carriages.
even though virtually all the cars on the road in Sweden were LHD. One argument for this was that it was necessary to keep an eye on the edge of the road, something that was important on the narrow roads in use at the time.