How come the District of Colombia isnt part of the U.S.A like Illinois or Florida?

from what i know, they are separate from the u.s government,dont have to pay taxes and they even have their own Constitution . i also found out there are other district like this, one in London and somewhere else........and also, how come the federal reserve isnt own or ran by the u.s government....if the government is being loan money but with interest how would we ever get out of debt!?