People think that they have free will because we can make decisions. Every decision we take has a cause. Think about it. You didn't get to decide how your brain works, and you are controlled by your brain in a sense.
If you could travel back in time 10 years, so that you and everything was exactly the way it was 10 years ago, you would make exactly the same choices again. Everything would happen exactly the same. How can something happen differently if everything was exactly the same? We have no free will.
I think realizing that free will is an illusion is essential if we are to better understand human psychology.