According to axiom schema of specification in ZFC:
$\forall z \forall w_1 \forall w_2\ldots \forall w_n \exists y \forall x [x \in y \Leftrightarrow (( x \in z )\land \phi )]$,
where $\phi$ can be any formula in the language of ZFC with all free variables among $x,z,w_{1},\ldots ,w_{n}$ ($y$ is not free in $\phi$ ).
Informally, the axiom states (as far as I understand) that for any set $z$ there is (exist) a sub-set $y$, if $y$ is constructed in the way described by the axiom schema of specification.
However, couldn't we just say that any subset of set $z$ exist? It looks to me that a set construction provided by the axiom schema of specification works like this: Loop over all elements of the set $z$ check if the current element satisfy condition $\phi$ and, if it is the case, include this element into $y$.
So, couldn't we just write the following?
$\forall z [\forall x ((x \in y) \Rightarrow (x \in z)) \Rightarrow \exists y]$
Moreover, for me it is not clear how this axiom is related to the Power Set Axiom, which states that for any set $A$ there is a set that contains all the subsets of $A$. Shouldn't this axiom (making a statement about a set of all sub-sets) first "prove" that those sub-sets exist?
In standard first-order logic all elements of the universe "exist", so the axiom you've written doesn't really make sense: "$\exists y$" all on its own is not a formula: quantifiers have to govern a predicate, as in $\exists y(y \neq x)$.
However, it is possible to formalise a theory of classes, in which sets like those in ZF feature as a special kind of class. One of the best known systems of this kind is called NBG. In such a system, being a set is a definable property, sets are the things that are elements of some class. So you can define the notion of set-hood thus: $$ M(x) \equiv \exists y(x \in y) $$ ("M" for "Menge" - German for set.) In such a framework, it is meaningful to write $$ \forall z\forall y (M(z) \land (\forall x(x \in y \Rightarrow x \in z)) \Rightarrow M(y)) $$ which says that any class $y$ that is contained in a set $z$ is itself a set. This statement or some equivalent statement is one of the axioms of NBG.