Insects and mammals diverged from one-another over 500 million years ago. For most of Earths 4.5 billion year history, life was single-celled, or organized into colonies of single-celled organisms. Likely sometime shortly before the Cambrian, multicellular animals evolved. The first multi-celled animals were likely a kind of colony that was not differentiated into tissues. It didn't have a head, or tail, or look much like an animal. From these simple undifferentiated, multi-celled building blocks, came most of our animal phyla, during a burst of innovation called the "Cambrian explosion". At this time, one lineage headed down a path that would lead to insects, and another lineage, toward mammals. Although theoretically, it is possible, given enough time (as in billions of years) for a fly to evolve into a rabbit, this is highly unlikely. Evolution works with what it starts with and modifies it under natural selection to favor fitness. So having six legs and wings works pretty well for flies, and having 4 legs and fur works pretty well for rabbits. The hurdles to go from one form to another, given that these lineages are already well adapted, would be enormous. It was much easier, 500+million years ago, to go from one colonial lump of cells to a rabbit, and another lump to a fly. As an example of how evolution works with what it starts with, virtually all tetrapods (amphibians, reptiles, and mammals) have 5 digits on their limbs. This is because they share a common ancestor that did. Not because 5 is somehow special. Another example, humans choke to death because we share a common ancestor with fish, and fish share a tube that connects both the mouth with their swim bladders and their gut. Swim bladders were modified into lungs, but the common connection from our fish ancestors remains (a really bad design, but we are stuck with it).
