Question

why does pressure increase with depths

Answer 1

Since a liquid is nearly incompressible, its density does not change significantly with increasing depth. Therefore, the increase in pressure is caused solely by the increase in depth
for more reading http://www.infoplease.com/encyclopedia/science/pressure-pressure-fluids.html

Answer 2

you need to understand the equation of pressure. it is basically due to mass, above some point. as you go down amount of mass above you will increase:
\[P=F/A=mg/A=\rho Vg/A=\rho Ahg/A=\rho hg\]
whre \[\rho\] is density of liguid