First, Saul had something to "do." Saul knew that since he, as he was trembling and astonished, was the one who asked, "Lord, what do You want me to do?" He obviously believed in Jesus, but had further question about what he must do. Some people would answer that today by telling someone like Saul, "Nothing. There's not one thing for you to do." You will notice that Jesus' answer for him was different. He told Saul, "Arise and go into the city and you will be told what you must do" (Acts 9:6b).
Second, Saul had something he "must" do. This was no optional matter, nor was it something he could take or leave. "Must" explicitly means essential or mandatory.
Third, Saul had something to do that he could not do there. He was told to go to the city, but why? He was going to be told what to do there (6). So, what was he told to do there? That is when we need to look back with Saul, who by now goes by his new name, Paul, as he reviews his conversion with angry Jews right after he is arrested in Jerusalem. Ananias reluctantly shows up to see Paul (cf. Acts 9:13-14; incidentally, Ananias tells Jesus that Saul bound up all who "call on Your name." Compare that phrase to Acts 22:16 and see how Saul called on the name of the Lord). There, from Ananias, Saul learns what he must do. He is told, "And now why are you waiting? Arise and be baptized, and wash away your sins, calling on the name of the Lord." If one had no doctrinal bias coming to this text, how would he understand that? Would he more likely interpret from it that Saul had already been saved on Damascus road? Or would he, without bias, see an intrinsic tie between baptism and forgiveness?
Remember that Saul in one of several examples, just in the book of Acts, wherein the details point to the role of faith, repentance, AND baptism in obtaining the benefits of grace and receiving salvation from sins. Let us never make up our mind, then go to the text and pick and choose what we like which confirms our convictions. Let us carefully study the details, and thus determine doctrine.