We do have tails, all mammals have tails. The coccyx is your tail bone, it's what's left of the human tail and it's just too small to poke out behind us. The simplest answer is because we don't need it anymore. Tails are primarily for balancing a quadrupedal animal (seeing as their head is heavy, they would be off balance without a tail). We walk on two legs, a tail would make us off-balance seeing as our head is in line with out body.
Evolution is a process of mutation over generation. Useful mutations become common; non-useful mutations vanish over time. If a trait is not useful to us as a species, we lose it. Therefore, it's simplest to say that we don't have tails because we don't have any useful need for them. As a ground-dwelling species, we don't need them for hanging on tree branches, and since we don't fly or leap, we don't need them for balance. We have very good hands for swatting flies, so we don't need them for that either. Since we don't need or use tails, any tails our far distant ancestors may have had became useless and were gradually bred out of the species.
Of course, many of our nearest ape relatives also lack tails. (Chimpanzees, Gorillas, etc.)
You did have a tail before you were born. Every single human embryo has a tail, but when it becomes a fetus, the tail is absorbed. (Diagram:
http://www.mercksource.com/.../fig_e_0009.jpg )
Sometimes, humans are still born with a soft-tissue tail containing no bone; these are usually removed.
...Now, if you were a believer in intelligent design, you might say we had no tails because we weren't created that way. But that's a subject for another category.
(It's not easy to find unbiased internet resources on this subject. Here's some general related reading.)
http://www.straightdope.com/classics/a1_077.html
http://yahooligans.yahoo.com/content/ask_earl/20010706.html
http://www.suite101.com/.../99941