Why is it necessary to build up the uterus lining every month again and again?

It is necessary to build up the uterus lining every month because of the possible implantation of an embryo.  
The endometrium is the inner epithelial layer which functions as a lining for the uterus. During the menstrual cycle, the endometrium becomes thick under the influence of estrogen. This represents an optimal environment for the implantation of the embryo (if fertilization occurs). If the fertilization does not occur the endometrial lining is shed and over the next few weeks, regenerated.