Put simply, we pay taxes to fund the state. There are very different taxes such as income tax, value added tax, etc. The basic idea is that everyone pays part of the money they earn into a "community fund". This pot is used to finance things that benefit society, such as road improvements, social welfare or the construction of hospitals. It also supports public institutions such as schools and universities.
The decision as to what happens to the tax money is made by the politicians who are responsible for government spending. Citizens cannot decide what happens to their tax money. Many citizens are angry about the taxes because not everyone agrees with the politicians' decisions. But you can't choose whether to pay or not. It's a legal requirement. Anyone who simply does not pay their taxes – or pays too little – must expect criminal consequences.