I understand the Diffie-Hellman process, but what I don't understand is: what can we do with the shared secret?
Say we're working $\bmod p$ with primitive root $r$. If Alice's private key is $\alpha$ and Bob's private key is $\beta$ then the shared secret will be $r^{\alpha \beta} \pmod p$. I can't see a way of making $r^{\alpha \beta} \pmod p$ be a number that either Alice or Bob chose beforehand, so they basically have a random number that no-one else knows.
But what good is that (effectively) random number $r^{\alpha \beta} \pmod p$?
What can they actually do with it?
By generating a shared random number, they can then use that random number to generate a shared key with which they can apply a symmetric encryption algorithm (as opposed to a public-key one like RSA, which is asymmetric, because it involves one key for encoding and a different key for decoding).
Symmetric encryption algorithms generally are much faster than public-key algorithms like RSA. For any extended back-and-forth communication (as opposed to a one-off message), it's better to use a symmetric encryption algorithm. The problem with symmetric encryption algorithms is that you need to agree on a secret key using an insecure channel (if you had a secure channel, you wouldn't need encryption to begin with). That's the problem DH solves.