The roles of water in the structure and function of proteins have not been completely elucidated. Although molecular simulation has been widely used for the investigation of protein structure and function, it is not always useful for elucidating the roles of water because the effect of water ranges from atomic to thermodynamic level. The three-dimensional reference interaction site model (3D-RISM) theory, which is a statistical-mechanical theory of molecular liquids, can yield the solvation structure at the atomic level and calculate the thermodynamic quantities from the intermolecular potentials. In the last few years, the author and coworkers have succeeded in applying the 3D-RISM theory to protein aqueous solution systems and demonstrated that the theory is useful for investigating the roles of water. This article reviews some of the recent applications and findings, which are concerned with molecular recognition by protein, protein folding, and the partial molar volume of protein which is related to the pressure effect on protein.