Baptism is an immersion or sprinkling of water that signifies one's identification with a belief or cause. In Christianity it is the believer's identification with Christ in His death, burial, and resurrection (Rom. 6:4-5). It is done in the name and authority (Acts 4:7) of Christ with the baptismal formula of Father, Son, and Holy Spirit (Matt. 28:19). It does not save us (1 Pet. 3:21). However, it is our obligation, as believers, to receive it.
Some maintain that baptism is necessary for salvation. It is not. If you want to read more on this, see Is Baptism Necessary for Salvation?  Also, see the debate with Roger Perkins, Is Water Baptism Necessary for Salvation?