After He rose from the dead: Jesus said,
... All authority has been given to me in heaven and on earth. Go and make disciples of all nations, baptizing them in the name of the Father and of the Son and of the Holy Spirit, teaching them to observe all things that I commanded you. Behold, I am with you always, even to the end of the age. ...
(Matthew 28:18-20)
Let's look at what Jesus says here, step-by-step.
Jesus is Lord
This Jesus God raised up, to which we all are witnesses. ... Let all the house of Israel therefore know certainly that God has made him both Lord and Christ [or, Messiah], this Jesus whom you crucified.
(Acts 2:32; 36)
He is also Head of His church.
... Christ also is the head of the church, being Himself the saviour of the body. (Ephesians 5:23)
But not all churches are His.
The disciples, who obey His commands: are the ones who make up His church. See this warning -
These people draw near to me with their mouth, and honor me with their lips; but their heart is far from me. And in vain do they worship me, teaching as doctrine rules made by men.
(Matthew 15:8-9)
There are many groups that alter Jesus' teachings, but the Bible says these are not His disciples, or His church.
A study of the early church in the Bible will show that baptism was the point where one's sins were forgiven and when one entered into the Lord's church.
Some examples:
Now when they heard this, they were cut to the heart, and said to Peter and the rest of the apostles, “Brothers, what shall we do?” Peter said to them, “Repent, and be baptized, every one of you, in the name of Jesus Christ for the forgiveness of sins, and you will receive the gift of the Holy Spirit. ...” ... With many other words he testified, and exhorted them, saying, “Save yourselves from this crooked generation!” Then those who gladly received his word were baptized. There were added that day about three thousand souls.
(Acts 2:37-38; 40-41)
Philip opened his mouth, and beginning from this Scripture [previous verses referring to Isaiah chapter 53], preached to him about Jesus. As they went on the way, they came to some water, and the eunuch said, “Behold, here is water. What is keeping me from being baptized?” ... He commanded the chariot to stand still, and they both went down into the water, both Philip and the eunuch, and he baptized him. When they came up out of the water, the Spirit of the Lord caught Philip away, and the eunuch saw him no more, for he went on his way rejoicing.
(Acts 8:35-39)
Now why do you wait? Arise, be baptized, and wash away your sins, calling on the name of the Lord.
(Acts 22:16)
Also the Bible says that baptism is when one dies to his old self, and is raised up a new being, to a new life in Christ.
Or do you not know that all we who were baptized into Christ Jesus were baptized into his death? We were buried therefore with him through baptism into death, that just as Christ was raised from the dead through the glory of the Father, so we also might walk in newness of life.
(Romans 6:3-4)
Baptism is a burial. The Greek word ‘baptizo’ literally means to be fully immersed. Sprinkling and other alternatives were invented by man much later than New Testament times, and were not given by God. These alternatives are not acceptable to Him.
But there are certain things that need to take place before being baptized.
Acts 2:38, above, speaks of the need to repent - we need to change our lives, renounce sin, and start living His way. Also, there is
God is three Persons. And we need to understand and believe that Jesus is the Son of God.
... He who does not believe God has made him a liar, because he has not believed in the testimony that God has given concerning his Son. The testimony is this, that God gave to us eternal life, and this life is in his Son. He who has the Son has the life. He who does not have the Son of God does not have the life.
(1 John 5:10-12)
And we need to be willing to confess this (publicly state our faith):
Everyone therefore who confesses me before men, him I [Jesus] will also confess before my Father who is in heaven. But whoever denies me before men, him I will also deny before my Father who is in heaven.
(Matthew 10:32-33)
It doesn't stop at the point we become a Christian! - there is more to learn (in fact it will be a life-long process!)
We are certainly saved by grace - see for instance Ephesians 2:4-9. But this does not mean we do not need to work. The very next verse (Ephesians 2:10) states this.
What people sometimes don't understand is that, while we can never be good enough for God, we still need to strive to do so (this is repentance). And, in particular: we need to learn and obey what He says. In doing this, our sins are covered by the blood of Christ - see also 1 John 1:5-7.