Sportsfreak, for someone who wants discussion, you're spouting CoC one-liners quite a bit, most of which were probably taught you by your preacher.
Anyway, on to your actual response:
	
	
		
		
			Yes you must believe first to be baptized...the jailor had no knowlegde of Jesus so he had to be taught first then believe then he could be baptized
 Acts 16:33 And he took them the same hour of the night and washed their stripes. And immediately he and all his family were baptized.
		
		
	 
Let me break this down for you:
The Greek word "must" in "What 
must I do to be saved?" is "dei."  It means, essentially, the bottom-line necessity of the thing.  "Tell me what I absolutely 
have to do to be saved."
Now, to answer that question with more than "believe on the Lord Jesus Christ" is to place Paul in error, since that's how 
he answered it.  If that's what is absolutely necessary for salvation, and baptism follows, then we should, logically, be able to find a consistant picture of baptism displayed thus throughout the Scriptures.  Let's take a look.
In Matthew 28:19, Jesus says to baptize 
disciples: "Make disciples, baptizing them..."  Remember, a 
disciple is a Christian, as it was the 
disciples who were first called Christians in Antioch (Acts 11:26).  So baptism is to happen to someone who is already a Christian.  Well, that fits right in with what we've seen in the example of the jailor, right?  So, moving on...
In Mark 1:4, John's baptism (I've mentioned this already, but you didn't read it last time, or at least didn't respond) was "of repentance for the remission of sins."  There, the repentance is for the remission of sins; baptism is "of repentance"--in other words, a reflection or expression of that repentance.  Repentance goes hand-in-hand with faith, being the "turning away" from what will kill us that must, rationally, accompany the "turning to" God.  It is consistant with the story of the jailor--baptism as a reflection of the grace already received.
In Mark 16:16, the only one condemned is "he that believeth not".  Baptism, then, is a reflection of the salvation obtained by believing.  That Scripture is consistant with the story of the jailor.
In Acts 2:38, as I've mentioned earlier, "remission of sins" is grammatically connected with "repent," leaving baptism as a reflection of that repentance and remission of sins.  Remember Mark 1:4.  Incidentally, in Luke 24:47, Jesus makes that same link ("that repentance and remission of sins should be preached") without even 
mentioning baptism.  So, baptism is clearly shown as a reflection of grace.  Again, that is consistant with its place in the story of the jailor.
In Acts 10, Cornelius and his household were saved (unless, of course, you discount Romans 8:9 which says that we are saved if the Spirit is in us and unsaved if He is not) and 
then baptized.  Again, we see beautiful consistancy in the Scriptures.
In Acts 22:16, Paul is told, "arise, and be baptized, and wash away thy sins, calling on the name of the Lord."  The washing away of sins is there connected with calling on the name of the Lord, not upon baptism.  Baptism is shown as a reflection of grace, again showing the wonderful consistancy of that story with the story of the jailor.
I could go on, but I will address other Scriptures as they become relevant to the discussion.  My point stands: throughout Scripture, baptism is shown as an act for those 
already saved as a reflection of that salvation.
I urge you not to merely spout the (quite cliche) one-liners that you've been taught in church and really study the Word on this matter.
Michael