Measure and Probability

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Can someone tell me that how did the idea to relate measure and probability come?(What's the conceptual history of measure and probability?)

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The idea is fairly natural and was codified in definitive form by Kolmogorv in his Grundbegriffe der Wahrscheinlichkeitsrechnung in 1933. There was some previous work in the area. You might want to take a look at the paper The origins and legacy of Kolmogorov's Grundbegriffe by Shafer and Vovk, especiall the third section called Measure-theoretic probability before the Grundbegriffe.