Cell walls are an extra layer outside of the cell membrane which acts as extra protection and support. Plant, bacteria, and fungus cells have cell walls; animal cells do not. Osmosis is the movement of water across a semipermeable membrane. If enough water diffuses into a cell the pressure of the water within the cell pushes out on the cell membrane. This is called osmotic or turgor pressure. The cell wall helps the cell membrane maintain its shape and keeps the cell from bursting. When a cell is full of water and putting pressure on the cell wall it is said to be turgid.
In short the cell wall is stronger then the cen membrain and less likely to break under pressure.