How the human body came into existence:
http://en.wikipedia.org/wiki/Evolution
http://en.wikisource.org/wiki/The_Origin_of_Species_(1872) (or the 1859 version)

A question each christian physician has to answer:
http://whywontgodhealamputees.com/


The bladder is not needed? You could live without it? Well, technically you could live with just one eye, but it would have the disadvantage that you can't see in 3d, and you see only half, which could be fatal if you have to recognise a tiger and how far it is away. That's why evolution "gave"* us two eyes.
If you don't have a bladder, you would pee onto your legs all the time, like you already said. You say it smells. Why does it smell? For a fly it smeels good. For us it smells bad because it can make us ill. That's why it's bad if we pee onto our legs all the time. That's why we have a bladder.

------
* of course evolution is nothing with a mind or purpose or that "gives" but this is the best way to express what I mean.