In order to govern an empire as big as the one they conquered, the Romans set up a system that divided the empire into smaller portions that could be more easily governed.
At the peak of the Roman Empire, it was divided into four prefectures, or large regions. These were the Prefectures of the Gauls, of Italy, of Illyricum and of the East. Each of these prefectures was in turn split up into provinces that were governed by governors.
The governors of the various provinces were responsible for keeping order, for defending their provinces, and for collecting taxes.
So in that way, the central government in Rome didn't have such a big job as it would otherwise have had.