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It's one of the common quirks of human communication. Here's a quick breakdown about PIE for the Pie 
We all have two competing "forces" when we speak: on the one hand, we're lazy by default, so we usually try to say as much as possible with as little effort as we can get away with. On the other hand, we also want to make sure we're being understood and our listener (or reader) knows what we're talking about. So, we give as many clues about what we're referring to as we can! For instance, we might tell our friends we like trance music and leave it at that because that's about all they'll know about the music we like anyway. But, when we're with our loved ones who know their trance music, it's probably best to be a little less concise because the label might refer to both progressive trance and full-on psychedelic trance, among other subgenres, so we might say something like "Uplifting Dutch trance" to really get the meaning across.
Now, as we tend to fall back on the same expressions over time, we start to slack off a little and the words get glued to one another if their presence is predictable. As a familiar example, people in ye olde England would say what they willed before doing stuff. "I will go" meant that they just wanted to go somewhere. Over time, you'd say you willed whatever happened in the future and "will" became obligatory whenever things happened in the future. This is what we call grammaticalisation and it's something all languages undergo. That's where grammar comes from: yesterday's words are today's morphemes.
I think something similar, but much more complex, must've happened to the ancestor of Proto-Indo-European because at some point in time all sorts of information became glued to nouns, such as whether it was the subject or the object. But here's the real kicker: different words became attached to different endings for some reason, and speakers just carried on with it keeping these differences and creating different word groups. These endings were then attached to the adjectives that modified these nouns, so that whoever you were speaking to could easily see what that trait belonged to. Let me give you an example. If a girl was the subject, the adjectives that described her would have one ending. If a boy was the subject, another ending would be attached to the adjective. This regular correlation leads to what we call "noun classes". Because there was a correlation with gender, the Europeans who first described grammar couldn't have known any better. They called the different noun classes in their languages and the agreements they entailed as... genders. That's something of a misnomer though because, sure, "girl" is feminine, and "boy" is masculine, but that's just a fraction of the words we use.
So, because genders (and number, and grammatical cases, and so on) all became well-established and obligatory in PIE by the time it spread over Europe and India and everything in-between, its descendants (be it English, Portuguese or Hindi) passed these grammatical genders on to us because we tend to learn the languages spoken around us as children and wing it as we go through life, instead of creating a whole new language from nothing every generation or so. It's quite tricky for a language to get rid of something so basic such as a whole grammatical category, and English only got away with it because the phonology changed dramatically in the British Isles due to viking presence there.
So, how did it come about? Speakers added regular information after nouns (such as grammatical role and number), distinguished between different groups, it became so common it was seen as obligatory and regular, and this led to different noun classes which we now call gender.
Now, on to why.
As to why anyone in their right mind would still do this despite none of us knowing why PIE speakers started doing it... it helps us make distinction when the speaker is talking about more than one thing at a time. I speak a language that's quite gendered compared to English, so if you want to say in Portuguese, it's much clearer to me if you say "as casas vermelhas e o pr�dio preto" for "the red houses and the black building" or "the houses red and the building black" (mind you, the number and gender agreement dovetails nicely with the words they refer to) than if you just say "o casas vermelho e o pr�dio preto" - which makes perfect sense in English, but I suddenly have questions in Portuguese as to how many houses there actually are what colour refers to what.
It's worth noting that many languages do something similar, with a different twist. Some African languages have up to 10 different classes (we don't tend to use the word gender in this case), and some East Asian languages distinguish nouns only when counting them, so you can tell for sure what's being counted.
So, yeah, I oversimplified it a bit because lots of stuff needs to happen for grammaticalisation to occur, but it's one of the coolest things in historical linguistics. Is there something more specific you might want to know though?
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