Those who approach the sacrament of Penance obtain pardon from God's mercy for the offense committed against him, and are, at the same time, reconciled with the Church which they have wounded by their sins and which by charity, by example, and by prayer labors for their conversion (CCC 1422).
The Sacrament of Penance (confession) is offered on Saturdays at 7:45 am and or by appointment. Catholics are required to receive this Sacrament at least once a year.
First Penance is offered to children at around the age of seven who have been properly prepared to receive this Sacrament.
So why do we need to confess sins to a priest?
Christ gave this power to other men so the Church, which is the continuation of his presence throughout time (Matt. 28:20), would be able to offer forgiveness to future generations. He gave his power to the apostles, and it was a power that could be passed on to their successors and agents, since the apostles wouldn’t always be on earth either, but people would still be sinning.
God had sent Jesus to forgive sins, but after his resurrection Jesus told the apostles, "‘As the Father has sent me, even so I send you.’ And when he had said this, he breathed on them, and said to them, ‘Receive the Holy Spirit. If you forgive the sins of any, they are forgiven; if you retain the sins of any, they are retained’" (John 20:21–23). (from http://www.catholic.com/tracts/the-forgiveness-of-sins).