After Harry, Ron, and Hermione leave the Burrow, Hagrid, with great reluctance, hides Harry at his hut in the Forbidden Forest to keep him safe from Voldemort and the Death Eaters. He knows that Harry is in immense danger, but he also knows that he must obey Dumbledore's orders and keep him safe.
This hiding place is pivotal in the story because it allows Harry to get away from the chaos and prepare for his final confrontation with Voldemort. It also shows Hagrid's loyalty and dedication to Harry, even though it puts him at risk.