Well, the way I see it there are two possibilities:
1) We are NPC's in a forgotten server of some futuristic MMORPG.
2) We are players in some futuristic MMORPG- we are immortal super-humans who have become bored with our lives, and therefor drop ourselves into this 'game' as an infant with no memories from our actuall life. We live an entire life, and then we 'die' and return to our actual lives
Ok, I'm kidding, but the idea does make you think. I suppose the problem is that humans can only determine truths that they can see. Any speculation beyond what is observable will always just be speculation.
anyway, who would simply make up the idea of religion just to keep order? it wasn't founded for that reason, it was because of what we felt and experienced.
In the Stone Age, some humans accidentally ingested berries which caused hilucinations. In these hilucinations, people would see things, and then they would tell their fellow tribe-mates about them. In many of the tribes, these visions were used to make decisions. In many of those tribes, the tribe members attributed purely coincidential improvements or successes to these visions, and they decided that some greater force must be talking to them.
Fast forward a few million years. The Greeks and later the Romans were seeing things in nature that they couldn't explain. They decided that only greater beings could possibly have the power to do such things as make the sun rise and cause crops to grow.
Fast forward a few hundred years. The Roman Empire is enormous and supporting a very large population of wealthy individuals. According to historical records, many bored Roman equivalents of aristocrates took up bizarre beliefs or join strange sects in order to make life more interesting. Eventually, one sect appears- imported from smaller groups elsewhere, involving just a single supreme God. In a time of social inequality, this 'novelty religion' promised salvation in equal portions to women, who flocked to it. This religion also offered easier access to salvation to the poor. Furthermore, life becomes a lot less complicated. A follower needn't fear 'angering the gods' and, say, losing a harvest or suffering a drought.
This is all information I have gathered from a wide veriaty of sources, over a long period of time. You all already know how I interpretted it, so interpret it as you will.