Like most things which have to do with religion, there is no clear cut answer. There are many different interpretations to the existence of the Devil and even evil at large, even within Christianity.
Some of the most common approaches regard the Devil as in incarnation of evil created by God to allow humans free choice. After all there would be no point in Heaven and Hell if we were all good all the time. By creating evil God gave us a choice between good and evil, and we will be rewarded according to out decisions.
Many people hold the belief that the devil was formerly an angel in Heaven, and a very important and powerful angel at that. However he wanted to become even more powerful and was therefore cast out of Heaven, hence one of the Devils common names, The Fallen Angel.
In the Book of Revelation (the last book of the New Testament) there is a story of the final battle between Christ and the Antichrist, one naturally representing all that is good and the other all that is evil. Although the outcome of this fight is known in advance, it will not be an easy battle. So the idea that there is a fight between God and the Devil is an integral part of Christianity.