To use a struct, we need to instantiate the struct and use it just like a class. Then why don\'t we just create a class in the first place?
All of the reasons I see in other answers are interesting and can be useful, but if you want to read about why they are required (at least by the VM) and why it was a mistake for the JVM to not support them (user-defined value types), read Demystifying Magic: High-level Low-level Programming. As it stands, C# shines in talking about the potential to bring safe, managed code to systems programming. This is also one of the reasons I think the CLI is a superior platform [than the JVM] for mobile computing. A few other reasons are listed in the linked paper.
It's important to note that you'll very rarely, if ever, see an observable performance improvement from using a struct. The garbage collector is extremely fast, and in many cases will actually outperform the structs. When you add in the nuances of them, they're certainly not a first-choice tool. However, when you do need them and have profiler results or system-level constructs to prove it, they get the job done.
Edit: If you wanted an answer of why we need them as opposed to what they do, ^^^