It's not that an imaginary number does not exist. No numbers "exist". There are just applications of them in the real world: situations where a certain number system describes certain properties of objects.
Let's say that you have a robot that can walk in any direction on your floor but only turn in 90 degree increments (I.e., it can only go forward, backwards, left, and right, but this can be oriented in any way so that forward could mean at an angle of 32 degrees). Then instead of lying down an x-y plane, we can have a Complex plane (where the real axis takes the place of your x-axis and the imaginary axis takes the place of your y axis). We can let V be the velocity that your robot (but as a single complex number instead of as 2 real numbers) is moving currently. Then note that the only velocities in which he can move are
V, -V, iV, and -iV
In other words, multiplying by i rotates your robot by exactly 90 degrees. So it turns out that complex numbers actually do describe the situation. In fact, if you want to to rotate your robot by angle [tex]\theta[/tex], then you'd just have to multiply V by [tex]\cos(\theta) + i \sin(\theta)[/tex] (note that this always has absolute value 1). And to change the speed, multiply by a real number.
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Note: This also gives a physical significance of the square root of a number: If x^2 = y, then rotating by x twice is the same as rotating by x. So if we want to know what we can rotate by twice to get your robot to turn around, this a solution to the equation x^2 = -1. Your solutions are i and -i. So if you rotate by one of those twice, it's the same as turning around 180 degrees.