You have a theory. You wish to prove it. Will oil burn longer than gas? How will you find out? You will ignite the same amount of oil and gas and see which one burns longer and you will have your answer. Did you just do research???
Anytime anyone invented anything or found a better way to do something in this world, from the invention of the wheel, to the latest computer gadget, someone did the research. If the caveman had not started out with trying to roll a square piece, he would have never figured out that he had to smooth out those corners in order to get it to work. He did the crudest form of research known to man, trial and error. Today, that same principle applies to the most sophisticated software analysis. The software must be tried in different situations, on different computers, with different programs, to see where it works and where it does not, thus giving the inventor or creator the information he needs to make it work the way he wants it to.
Research keeps us safe. When experiments are done under controlled environments, everything we use today is safer. It is a lot more effective to test a seat belt in a factor with a dummy, than to have anyone hurt by learning it was defective in the first place. It is also essential to test things like medications or food additives before actually giving them to people for consumption.
Research makes us wiser, it gives us information we did not have before. Documented research makes it possible to build on an invention or idea from the past. Remember our caveman with his square wheel? You probably cannot look around the room you are in without seeing a wheel doing something. He did his research and we benefited from it.