"I kneel before the Father.... I pray that... he may strengthen you with power through his Spirit... so that Christ may dwell in your hearts through faith." — Ephesians 3:14-17
Christians believe that the one God exists in three persons: Father, Son, and Holy Spirit. Our minds cannot sort out all the complexities of this mystery, but prayer is a wonderful way for the mystery of the Trinity to find application in our lives.
A basic understanding of prayer is that it involves all three persons of the Trinity. We pray to the Father, in the name of Jesus, by the power of the Holy Spirit.
What this means is something really amazing. The Father, the Son, and the Holy Spirit live together in loving harmony, each one glorifying and supporting the others. And when we pray, the three persons of the Trinity also graciously include and support us. Our prayers connect us with the interchange of God's love and amazing work in this world.
Here's a picture of what that looks like: When Jesus was baptized, the Holy Spirit descended on him as he was praying, and the Father said, "You are my Son, whom I love; with you I am well pleased" (Luke 3:21-22). When we pray, we participate in the same self-effacing love that unites the Trinity. The love of God is extended to all who have been baptized in the name of the Father, the Son, and the Holy Spirit (Matthew 28:19). We pray because we too are the beloved children of God with whom he is pleased!