Holy Confession
The Lord Jesus Christ after His glorious Resurrection, when He appeared to His Disciples gave the command that:
"Who's ever sins you forgive they are forgiven in heaven, who's ever sins you retain on this earth are retained in heaven." (John 20:21-23).
By going to confession, you accept your wrong doings, and you ask the forgiveness of God. The Sacrament of Confession has been called the Mystery of the second Baptism since it entails forgiveness of sins committed after Baptism. It is Holy because it's a sacrament between God and His children and the priest plays the role of the Bridge. The priest or the bishop, as His representative on earth through ordination, sends prayers to God for the salvation of the Faithful that confesses.
Through Holy Confession we clean our soul, we repent for our sins, we ask for forgiveness. With clean soul, mind and body, we must follow confession with receiving Holy Communion, since this is the sacrament by which our sins are forgiven and washed away with the Holy Body and Holy Blood of Christ.
As the prayers of the Holy Communion claim "There is no man on this earth who lives and sins not ". Thus, confession through either private confesion by prayer and/or sacramental confession, is a means of humbling themselves before God and receiving penance.