Stations of the Cross is an ancient devotion started by St. Francis of Assisi in the middle ages. After a pilgrimage to the Holy Land, St. Francis was particularly touched by both The Church of the Nativity in Bethlehem, and the Way of the Cross in Jerusalem. He desired to give the same experience to those back home in Italy who may never be able to make it to the Holy Land.
Upon Francis' return, he instructed that all churches under his care include images of both the Stations of the Cross and a Nativity scene. in the 1700s (about 500 years after the death of St. Francis), St. Alphonsus Liguori composed the prayers for the Stations of the Cross that we all know today.
Although the Stations of the Cross can be prayed at anytime during the year, Lent is the most appropriate and is celebrated on Fridays (the day of Jesus' death on the cross) around the world.