There are 2 parts to the answer:
1. DNA is very long. It is simply not efficient to translate proteins directly from DNA. We need a messenger to copy the information from the DNA in much more compact, manageable and short molecule, thus mRNA copies the code for a specific protein off the DNA, is exported from the nucleus and is then used as a template to create the protein.
2. Regulation. Having mRNA as an intermediate stage between the coding and the translation of the information into protein, enables fantastic and advanced control.
a. It allows the sequestering of DNA into the nucleus. A tremendous advantage for regulation.
b. It allows regulation on the transcriptional level by transcription factors - when and how much we end up with any specific protein.
c. It enables alternative splicing - again another level of control, and adds options for diversity,
These reasons are why RNA is necessary.