That's fine! It came about in 1721, when there was a major economic crisis due to the collapse of a stock market bubble (the South Sea Company bubble).
At that time, whether or not a King got involved in government was up to the King, but it was generally expected that in times of crisis he'd be there to steady the ship.
Unfortunately, King George was from Hanover and really didn't much like being King of Britain. Last thing he wanted to bother himself with was an economic collapse. So he made Robert Walpole (one of the few MPs whose reputation hadn't been ruined in the crisis) First Lord of the Treasury, which was then the highest job in government. But he also gave Walpole unprecedentedly broad powers to run the whole country as if he were King himself.
Walpole's rivals thought that Walpole was thoroughly up himself (probably accurately), so they made fun of him, saying he wasn't just a Minister but the Prime Minister - like saying, ooh, isn't he special, he's the King's pet, get him, Mr La-De-Da thinks he's all that.
So really, when you say Prime Minister, you should be saying it in a very snide voice, the kind of ooooh-hark-at-you manner in which it was intended.