This is something that Jesus himself underwent and told us to do. Some churches will physically immerse you in water, while others will sprinkle or pour water over you in front of the whole congregation.
Baptism is a public confession of our faith. It is an outward sign of the change that goes on inside—it declares our decision to follow Jesus, and symbolises our identification with him and with his death and resurrection. The Bible says: “When we were joined with Christ Jesus in baptism, we joined him in his death… For we died and were buried with Christ by baptism. And just as Christ was raised from the dead by the glorious power of the Father, now we also may live new lives” (Romans 6:3–4).