In this talk we will describe the steps towards self-consistent computer simulations of the evolution of the universe beginning soon after the Big Bang and ending with the formation of realistic stellar systems like the Milky Way. This is a multi-scale problem of vast proportions. The first step has been the Millennium Simulation, one of the largest and most successful numerical simulations of the Universe ever carried out. Now we are in the midst of the next step, where this is carried to a much higher level of physical fidelity on the latest supercomputing platforms. This talk will be illustrate how the role of mathematics is essential in this endeavor. Also computer simulations will be shown. This is joint work among others with Volker Springel.