Javascript validation allows your user to be informed of any errors prior to their submitting the form to the server. This saves irritating page-reloads (since on submit the JS catches the event and validates the form, preventing form-submission if errors are found) and minimises the chances of their having to re-enter information again (and again and again...), or leaving prior to completing the form properly. JS validation is not a substitute for server-side validation (since the user can see the JS, and, by saving the page and amending the JS do whatever they want); but it's a convenience for them.
This is simply part of the concept of progressive enhancement, whereby JS provides a mechanism for enhancing the experience for the user, if it's there and turned on, and hopefully makes their interaction with your site pleasant, or, at least, minimally irritating.
Edited in response to OP's question regarding 'where to download a JS validation tool.'
While I can't -necessarily- recommend any one library (I tend to write my own as required, or borrow from previously self-written examples), a Google search threw these options up:
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