Wonder why Muslim women wear a scarf on their head?

In the holy Qur'an Allah (God) commands the prophet Muhammad (pbuh):
"O Prophet, tell your wives and daughters and the believing women to draw their outer garments around them (when they go out or are among men). That is better in order that they may be known (to be Muslims) and not annoyed..."
(Qur'an 33:59)

So first and foremost, Muslim women cover because God commanded them to do so!

What can be understood from this verse is that when a woman is modest
She is not "annoyed"
In other words, men do not pay attention to her simply for body.
Rather, her personality and intelligence are the main emphasis in Islam.
Muslim women do not oppress their sexuality by taking on the hijab!
Rather, their femininity is emphasized by their demeanor, character, as well as their appearance. By the way, men also have to maintain their modesty and follow dress requirements in Islam!

Most importantly, Islam encourages men and women to maintain modesty for the sake of purity:

"Say to the believing man that they should lower their gaze and guard their modesty; that will make for greater purity for them; and Allah is well acquainted with all that they do. And say to the believing women that they should lower their gaze and guard their modesty; and that they should not display their beauty and ornaments except what must ordinarily appear thereof; that they should draw their veils over their bosoms and not display their beauty except to their husbands..."
(Qur'an 24:30-31)

Source: http://www.hijabs-r-us.com/index1.html