The answer is that it increases lymphocyte motility, helping to fight the infection:

Nobody likes coming down with a fever, but feeling hot may do a body good. Researchers report online 5 November in Nature Immunology that a fever in mice revs up the immune response by helping white blood cells enter lymph nodes, where they join the battle against microbial invaders.

All mammals can develop fever when they're sick enough, and even cold-blooded animals with infections, such as fish and lizards, will seek warmth to raise their body temperatures. This suggests that fever somehow helps the body conquer the bugs. Immunologist Sharon Evans of Roswell Park Cancer Institute in Buffalo, New York, and coworkers are studying how fever affects the movement of white blood cells, or lymphocytes, from the blood into lymphoid tissue, where they learn to recognize and fight pathogens. Lymphocytes constantly circulate through blood vessels within lymph nodes and other lymphoid organs, but only some actually enter lymphoid tissue by crossing the walls of the vessels, known as high endothelial venules (HEVs).

Fever increases blood flow, which means more lymphocytes flow through lymphoid tissues. Evans' team had previously shown that fever also assists the passage of lymphocytes into lymphoid tissue, but they hadn't figured out what was happening on a molecular level.

Immune cells are always cruising around your body looking for trouble. The problem is that once they find it, they sort of need to tell the world. The best place for them to do that is in a lymph node -- sort of like a lymphocyte convention, but getting there is an issue. Apparently, temperature helps in getting there.

Now, I wonder whether if you were to disrupt the fever by pharmaceutical methods -- like Tylenol or something -- there would be a significant decreases in the ability to fight the infection.