Seen here , for example. Includes a 2-minute video of MSNBC, and a PDF with the study itself.
Summarizing many thing: contrary to what some believers - especially in the most religious countries like the U.S. - would have expected, countries where there is less crime, less violence, less poverty, less inequality, less teenage pregnancy, and so on, coincide with the less religious. The U.S. in particular (country of "1st world" more religious) are pretty bad in comparison.
Now, as anyone with a trace of science education know, correlation does not imply causality. That is, the fact "more this" match "over it" does not imply that one thing causes another, there may be a 3rd unknown variable that causes the other two, or it may simply be coincidence, that a study is not sufficiently inclusive, comprehensive and lasting may well exist.
In other words, we can not look at the study and immediately conclude that "religion causes immorality," or "immorality causes increased religiosity" (both hypotheses are possible, and should be considered, we can not simply assume that the thing happens in the first sense that comes to mind ... if it happens, what remains to be demonstrated).
To prove causality, it would take much more data, obtained over decades - for example, for each country to determine whether increases or decreases in religiosity are reflected in increases or decreases of immorality in a linear fashion. If this happens in a vast majority of cases, and in both directions (ie, increases increases require something else, and even decreases), then we can assume that there is a good chance there is causality (although it remains to investigate if there are both consequences of a third).
(If you are a little confused why they put so many "but" for drawing conclusions from a study that apparently favors only my position, when in my place to imagine the "embrace it" immediately, welcome to your first contact with the scientific method, who suggests that a hypothesis is the one to do everything in their power to falsify it, and only keeps the possibility open if it can not. This is why science is not "a religion" and does not need "faith" - that is, is confidence. 
)
We can, however, finish one thing at once, which I consider extremely important: the idea that religion is essential to human morality is absolutely false. Many believers take - or have been taught well and never questioned - that religion is the only thing that makes people moral, and that a society that has become lost quickly went on an orgy of violence and chaos ... but it is shown that is not the case, less religious societies are as or more moral. In fact, the data suggest the "more", but you should investigate this further, as I said.
Speculating a little - and not take me very seriously here - I would say that there are several reasons for the high religiosity to be associated with immorality and social problems.
First, because religion is a way for people to not think about morality, to provide easy answers ("God sent this"). Issues such as abortion or euthanasia should be studied and discussed by the society, considering the likely effects of various possible policy, especially in terms of suffering caused or prevented and social progress ... but nothing happens when we simply point to the reissue of a papyrus scrolls written by pastors of the Bronze Age as the end of discussion.
Second, because a society is necessarily a very religious society where critical thinking is not appreciated, and so people have less ability to make rational and informed decisions (leading, for example, to elect bad politicians and bad policies require) .
Third, because those who believe that life is just a test to determine the salvation of the soul will necessarily give less value - or at least enjoy the suffering of others - than those who believe that the life we have is unique and finite.
Fourth, because there is so much immorality on the basis of religion - just look at the sacred books.
Fifth, because religions tend to be ultra-conservative, anti-science and anti-education (including sex education, the best way to prevent teenage pregnancies and therefore abortions) on any social issue, the churches are almost always on the wrong side (eg, abortion, sex education, gay rights, teaching of evolution (this is more in the U.S.), equality of rights between the sexes, euthanasia, etc.)..
The religion does not exist in a vacuum; proceeds of existing religions, and they have lots and lots of "blame the office," in terms of morality not only acts, but of promoting.
But that's just me to believe. 
