Many people wanted to go to the New World. Among these people were the English, who didn't want to be outpaced by their rivals, Spain and especially France in getting land in the New World. I mean, they had been fighting each other for hundreds of years!
Sir Walter Raleigh was determined to carve out a colony in the New World for the glory of his country (and pocket), and to help his country expand (like his wallet). He sailed over the treacherous Atlantic Ocean and eventually came to the island of Roanoke. Now, the colony established on the island wasn't the first one to be there. Sir Ralph Lane was responsible for the first one, which soon fell apart due to desertion and war with the natives.
However, Sir Walter was not deterred by the failure of the previous colony, so he decided to start a new one… on the same island. However, this time he brought civilians, not soldiers. They settled in the structures built during the previous attempt, and after some disputes with the natives, managed to settle in.
At this point, Sir Walter needed to go back to England for provisions, and while there, got embroiled in a war with the Spanish and didn't make it back to Roanoke Island until three years later.
When he got back to the island, he found the colony empty and the word “CROATOAN” scratched into one of the palisades of the fort. The relief team searched around the area but didn't find the colonists. This gave it the nickname “The Lost Colony”.
However, excavations seem to show that the settlers didn't just disappear, they went to live with a friendly tribe called the Croatoans after helping them defeat their enemies, the Secotans. Because the colonists were running low on food, this decision seemed like the right one, and they even left a sign telling Sir Walter Raleigh and the relief force where to find them. The relief force wanted to go search for the settlers, but since the sailing season was almost out, they had to return to England.