Importance of site maps
Search engines use site maps as... well the map to your sites content. It tells their web crawlers where to find your pages, how many pages you have and what type of pages they are. From there the web crawlers will look at each of the pages and look at the content and links for each page.
Location of your site map
You will find your site map at adding "sitemap.xml" just after your website address. Example: http://www.yourdomain.com/sitemap.xml. If you go there and do not find a site map it means you need to turn it on.