You get your download code, you log in, you create your costume, and hit “Enter Game” and... then what? A massively multiplayer world filled with thousands of people is fine in and of itself, but the vast majority of us seek for something to do within it. And that is where Missions come in.
Mission is a category, covering a lot of potential content. Talk to someone, that is a mission. Deliver something, a mission. Investigate a warehouse, mission. Defeat a gigantic mutant alien crab threatening to perform his kareoke version of “It's Unusual”, mission.