Since I installed my store I see the SID code in my URLs but I don't know why it's there, I found an option in my admin panel to disable it.
Could you explain to me why do I need it?
If you don't use a multistore you can disable it!
This is a good answer to it:
The SID is a "session ID". Magento uses this to track a user's activity within the same Magento installation. Normally, Magento powers one website and one store from one installation (database).
Magento could power multiple websites with multiple stores from one installation though. The SID allows users to stay logged in while navigating across these websites/stores.
I think if you have the function enabled, the SID is sent when accessing catalog URLs so Magento can update the session with the user's location/state for the current website/store.
If you're not running a multi-website or multi-store environment, it's safe to disable the SID on the frontend.