If you want to learn any sport, you need to practice. Shooting is no exception. Practicing shooting can get expensive. The price of ammo keeps going up. Dry firing is practicing shooting without real ammo. Use snap caps -- small plastic dummy ammo the same size as your real ammo. Snap caps usually come in a package of 5 and sell for about fifteen ($15) dollars. Using snap caps -- loading them in the magazine or cylinder, chambering the round (for semi-autos) then aiming, holding and squeezing the trigger -- enables practice of the shooting fundamentals.
Many aren't able to go to the range regularly and so dry firing is necessary to build the proper muscle memory. Trigger squeeze is a shooting fundamental difficult to master. Dry firing will help you with trigger squeeze. Use an empty shell or a quarter and sit it on the top of your barrel as you squeeze the trigger. If you squeeze and not jerk, the shell will stay in place.
Practice for a half hour, 3 times a week and your next visit to the range will convince you -- dry firing works!