You can make fine powdered sugar at home with a coffee-grinder, but it will absorb moisture over time so the industrially-made variety has additives to prevent that.
I actually do this instead of buying powdered sugar. I make my own brown sugar instead of buying it as well. Both are very easy to do, so I just make it on an as-needed basis. That way, I don't have to worry about storage and the considerations that come with it.