A problem statement articulates the motivation for your study. It answers the “so what?” question for readers. Just what is the problem you are looking into and why is it important? Articulating that helps lead to your purpose in the research and your research questions follow from that, either directly, or from a review of the literature prompted by your problem statement.
Drafting your problem statement is something you should do early in your research planning. Your problem statement may well be refined as you learn more, but establishing at least a draft one is very useful for orienting your research.
This presentation from the Abraham S Fischler School of Education, Nova Southeastern University gives more information about problem statements and their place in your research report.