Becoming a Christian doesn't magically disolve adversity or prevent sin. We are still human...sinful by nature and surrounded by a broken world. It’s God's desire to transform us into the people that He created us to be.
Baptists take our name and our practice of immersion from the act of baptism that Jesus commanded (Mk 16:16), and received himself (Mt. 3:13-17). Being immersed into the water symbolizes Christ's death; being raised up from the water symbolizes Christ's resurrection from the dead and, more importantly, the new life that we have as followers of Jesus. God wants to transform us from our former, sinful selves, into new creations in Christ.
"So if anyone is in Christ, there is a new creation: everything old has passed away; see, everything has become new!" (2 Corinthians 5:17)