Why should we confess our sins to the Catholic priest, when God is everywhere and He listens to us every time? Is this the only way to be forgiven? What is the assurance that sins are forgiven?
Since the question is about confession to a priest, the answer would rely upon the teachings of the Catholic Church. As such the best place to find the answer about why Catholics would confess to a priest are found in the Catechism of the Catholic Church.
The particular paragraphs that cover this are under the heading "Ministry of This Sacrament" in regards to the Sacrament of Reconciliation. Here it is clarified that, in keeping with the teachings of the Catholic Church, Christ "entrusted to his apostles the ministry of reconciliations, bishops who are their successors, and priests, the bishops' collaborators, continue to exercise this ministry." This is why Catholics confess to a priest.
To answer the second part of the question it is important to understand most fully what confession is according to the teaching of the Catholic Church. The purpose of confession is to reconcile one back to God where sin has severed or separated one from God to any degree. A practicing Catholic would not deny the truth that confession could be made directly to God or to Christ but would argue that due to our subjective nature in regards to self, a more perfect confession could be made when an Examination of Conscience is done and confession is made to a priest who, according to the Catechism, "is fulfilling the ministry of the Good Shepherd who seeks the lost sheep, of the Good Samaritan who binds up wounds, of the Father who awaits the prodigal son and welcomes him on his return, and of the just and impartial judge whose judgment is both just and merciful. The priest is the sign and the instrument of God's merciful love for the sinner."
Further, as the Catechism states, once confession to a priest has been accomplished with a "contrite heart and religious disposition, reconciliation is usually followed by peace and serenity of conscience with strong spiritual consolation."
And while this becomes a personal experience and difficult to justify, nonetheless I believe it is worth saying that people who do participate in confession with a contrite heart and belief in the teachings of the Catholic Church will attest to the power of the sacrament.