This can be easily understood by making a classical analogy. Consider a harmonic oscillator (e.g. a pendulum). The position and momentum of the oscillator at any given point can be measured and therefore the motion can be completely described by the phase space. This is shown in figure 1. By performing this measurement for a large number of identical oscillators we get a possibility distribution in the phase space (figure 2). This distribution can be normalized (the oscillator at a given time has to be somewhere) and the distribution must be non-negative. So we have retrieved a function W(x,p) which gives a description of the chance of finding the particle at a given point with a given momentum.