We believe that your first act as a Christian is to publicly express your faith in Christ by being baptized in water. Water baptism does not make you a Christian; it is something you do because you have become a Christian.
The following is taken from the Baptist Faith & Message:
Christian baptism is the immersion of a believer in water in the name of the Father, the Son, and the Holy Spirit. It is an act of obedience symbolizing the believer's faith in a crucified, buried, and risen Savior, the believer's death to sin, the burial of the old life, and the resurrection to walk in newness of life in Christ Jesus. It is a testimony to his faith in the final resurrection of the dead.
The waters of baptism don't actually clean you or save you, but they are a powerful expression of what God has already done in you through Jesus.
But seek ye first the kingdom of God, and his righteousness; and all these things shall be added unto you.Matthew 6:33 (KJV)