It is most likely that Neptune has a small solid core of a rocky material about the mass of the Earth surrounded by a layer of liquid which is probably Water with molecules of methane and ammonia. The temperature of this water is many times the 100oC that water boils at on Earth, but the extremely high pressure or the Neptunian atmosphere keeps the particles from escaping the water.
When Voyager visited Neptune it measured wind speeds of up to 2400 km/h, the highest recorded on any planet due to its heat producing core causing rising heat. Also because of this core Neptune Radiates more than twice as much energy as it receives from the sun.
Although Neptune is considered one of the great jovian planets (or gas giants), it is not really a true jovian as unlike Jupiter (the planet which gives its name to Jovian) Neptune is mostly Rock and water rather than gas.
Astronomers think that Neptune formed from frozen water and rock supplied by commet-like material from the outer regions of the solar system.