The purpose of a sport guard is two-fold: protect your teeth from becoming damaged or dislodged while participating in a sport or other rigorous activity; and to offer added protection to your head and brain against concussions.
While you can purchase a generic mouthguard at most drug stores or sports shops, to achieve optimal levels of protection you should have your mouthguards custom designed to perfectly fit your mouth specifically. This is done through having impressions made of your teeth and then having a mouthguard (typically fit for the upper mouth) constructed.
This will ensure a perfect fit, whereas purchasing a mouthguard off the shelf usually means the mouth guard is ill-fitting, uncomfortable, and doesn't stay in place well during activity.