Here's why:
* It introduces a phrase that contrasts with the main clause. For example: "Despite the rain, we went for a walk." The rain (the phrase introduced by "despite") contrasts with our action of going for a walk.
* It is followed by a noun or pronoun. "Despite the rain," "Despite his objections," etc.
* It can't stand alone as a verb, adjective, or adverb.
Let me know if you have any other grammar questions!