The man's sperm must be injected into the woman's uterus. This action is usually accomplished by having sex. But you can get pregnant by artificial insemination. The natural way is more fun though. lol
Well, this is a question on which i wanted to bang my head in wall... Well, read 8 and 10th grades' NCERT Science book.. ( 8th grade one would be more helpful )...
And to your question, it is not the only way, IVF is also there. And when you have 'the act', sperm with semen get into female body and fuse with eggs there and then form zygote over time. So without the act, there would be no sperm getting into to fuse with female sex cells.
Specifically what you need is special chromosomes (bunched up DNA in long strands) from a male to come in contact with chromosomes from a female egg cell under the right conditions - at the right time - we've done it without se.xual congress in laboratories with animals, but we still consider creating "test tube babies" to be morally wrong. We have alternatives if se.x is not causing pregnancy and pregnancy is desired by a couple: manual fertilization - typically "implantation" of fertilized egg cells into a stable endometrium - which is what sheds during menses by mammals on a repeating cycle (what "hosts" the new blastocyst) - for humans - it's typically on a "lunar 28 day cycle" (there's no guarantee this will work every time). If you're asking the alternate version of this question - more anthropological - a long time ago - really long ago (I'm trying not to offend the religious who actually believe life, the universe, and everything, occurred 6,000 years ago - about 700 years after the Chinese invented glue), it became advantageous to cause reproduction by se.x - where a variety of traits embedded in DNA - could come from different genders (another topic on how that occurred) to produce offspring that had a statistically better chance of survival - at least long enough to reproduce.
Really? Are you serious? Well, I guess technically, a female can use in-vetro fertilization. But, what fun is that? There really isn't any other way of getting the males sperm to the woman's eggs without sex.
I suggest you ask your parents. If that's not a preferable option, I suggest you seek out some sexual education at school. If you're too young to have received this from parents and/or teachers, it might not be right for me to explain this to you in any sort of detail.
If I'm mistaken, and you're past school age and genuinely lack this knowledge, I advise that you seek the answers from a person who you trust. Failing that, search the internet for information on sexual reproduction, being aware that you might stumble across some graphic sexual content.