Seems we’re in good company so to speak. The apostles were confused about this, too, and Jesus taught them several valuable lessons concerning prayer (see Luke 11:1-13):
He taught them priority:
He said to them, “When you pray, say: Father, hallowed be your name, your kingdom come, give us each day our daily bread. Forgive us our sins, for we also forgive everyone who sins against us. And lead us not into temptation.” (Luke 11:2-4 NIV)
And that persistence pays off:
Then he said to them, "Suppose one of you has a friend, and he goes to him at midnight and says, 'Friend, lend me three loaves of bread, because a friend of mine on a journey has come to me, and I have nothing to set before him.'
"Then the one inside answers, 'Don't bother me. The door is already locked, and my children are with me in bed. I can't get up and give you anything.' I tell you, though he will not get up and give him the bread because he is his friend, yet BECAUSE OF THE MAN'S BOLDNESS HE WILL GET UP AND GIVE HIM AS MUCH AS HE NEEDS."
"So I say to you: Ask and it will be given to you; seek and you will find; knock and the door will be opened to you. For everyone who asks receives; he who seeks finds; and to him who knocks, the door will be opened.” (Luke 11:5-10 NIV)
And that answers to our prayers, though physical outwardly, are always ultimately spiritual:
"Which of you fathers, if your son asks for a fish, will give him a snake instead? Or if he asks for an egg, will give him a scorpion? If you then, though you are evil, know how to give good gifts to your children, how much more will your Father in heaven GIVE THE HOLY SPIRIT TO THOSE WHO ASK HIM!" (Luke 11:11-13 NIV)
This, to me, explains how and why we pray. Although, the persitence lesson is still somewhat of a mystery to me.