The items you receive through the journey goes into the bag that you are carrying.
You will receive more items as you go through the journey. You can sell those items to merchants but every time your bag is full you have to return to the village to sell them which can be very annoying. This is where additional bag comes in handy.
You can purchase additional bag from supply merchants so that you can reduce the trouble of going all the way to the village.

You can obtain an additional bag through a specific quest, and they can be Purchased from supply merchants located in starting village and Capital Castle.

After purchasing a bag, you can double click(left button on mouse) on the bag to carry it. Or you can also click on shortcut key C to show character information window and drag the bag using left button on mouse into the bag slot located in left side of the window.

While equipped with additional bag, press I, and all the bags will open.
In order to disable a bag, simply double click on the bag in the Character information window or drag the bag you want to disable into the standard bag.