|MadSci Network: Astronomy|
The planets do all orbit the Sun in the same direction; this is thought to be a legacy of the time they were forming. All the planets coalesed from a disk of material surrounding the young Sun, and therefore they still orbit in the same direction the disk was rotating.
In systems of moons around planets, for example the 30 or so known moons around Jupiter, the majority of them orbit in the same direction although a few of the smaller moons are retrograde; that is, they move in the opposite direction. These are thought to be asteroids that were captured at later times by the giant planets.
As for other solar systems, we can only define a direction relative to the star. We tend to choose "North" so that the planets do rotate in the same direction of our solar system, and so this is simply a matter of definition. The same applies to looking at other galaxies, where we'd define galactic north with reference to the direction of rotation
Hope this helps
[Thus, in general, the answer is no, not everything in the Universe rotates in the same direction nor should we expect it to do so. The direction of rotation for a star is set by the cloud of gas from which it formed. These clouds of gas are large objects, thousands of times larger than our solar system, but they are just barely rotating when they start to collapse to form a star. Only a small change is necessary during the initial collapse for the cloud to rotate one direction or the other. Moderator]
Try the links in the MadSci Library for more information on Astronomy.