Praying

The word pray actually means to ask.  We can talk to God and thank him for everything he's done for us and praise him for his goodness and greatness, and of course, God wants us to thank him and praise him, but that is not praying; praying is asking for things from God.  The bible has much to say about praying and asking for things we want and need.
Matthew 7:7: Ask, and it shall be given you; seek, and ye shall find: knock, and it shall be opened unto you.
8: For every one that asketh receiveth; and he that seeketh findeth; and to him that knocketh it shall be opened.

So you see then that the way to receive things from God is to ask.  God wants to give good things to his children.  Just as our earthly parents want to give us good things, God, our heavenly, Father, even in a greater way wants to give us good things for he loves us and cares about us.
Matthew 7:11: If ye then, being evil, know how to give good gifts unto your children, how much more shall your Father which is in heaven give good things to them that ask him?
I Peter 5:7: Casting all your care upon him; for he careth for you.
God will provide all we need while going through this life on earth; he only wants us to ask so that he knows that we are looking to him to supply all our needs and not depending upon ourselves.
Philippians 4:19: But my God shall supply all your need according to his riches in glory by Christ Jesus.

When we pray, though, we must pray with faith and believing that God can answer our prayer.
Matthew 21:22: And all things, whaosoever ye shall ask in prayer, believing, ye shall receive.
James 1:6: But let him ask in faith, nothing wavering (meaning doubting), For he that wavereth is like a wave of the sea driven with the wind and tossed.

Mark 11:23: For verily I say unto you, That whosoever shall say unto this mountain, Be thou removed, and be thou cast into the sea; and shall not doubt in his heart, but shall believe that those things which he saith shall come to pass; he shall have whatsoever he saith.

I Timothy 2:8: I will therefore that men pray every where, lifting up holy hands, without wrath and doubting.

Also the bible teaches that we should ask in Jesus' name and stay in His word,  reading His word continually.
John 14:13: And whatsoever ye shall ask in my name, that will I do, that the Father may be glorified in the Son.
14: If ye shall ask any thing in my name, I will do it.
John 15:7: If ye abide in me, and my words abide in you, ye shall ask what ye will, and it shall be done unto you.

Many times the reason we don't receive things from God is because we don't ask.  That is why in the bible we are encouraged to ask.  Receiving answers to prayer brings great joy to our hearts.
John 16:24: Hitherto have ye asked nothing in my name: ask, and ye shall receive, that your joy may be full.

Though sometimes we pray with other people, the bible teaches us that we should also pray when we are all alone and only God knows about it.  Matthew 6:6: But thou, when thou prayest, enter into thy closet, and when thou hast shut the door, pray to thy Father which is in secret and thy Father which seeth in secret shall reward thee openly.

So what if you pray for something you want and you believed God would answer your prayer and you had faith, but you didn't receive the thing you asked for exactly, does that mean God didn't answer your prayer - absolutely not.  God said he would answer and he will.  Sometimes he makes us
wait so he can give us something even far better than we could even dream.  God is great and knows how to answer our prayers in the way that he sees fit and for our best interest and also so that his name can be magnified and glorified.
Ephesians 3:20: Now unto him that is able to do exceeding abundantly above all that we ask or think, according to the power that worketh in us.
God also wants us to learn to be patient and wait for him.
Lamentations 3:25: The LORD is good unto them that wait for him, to the soul that seeketh him.

So the things to remember are to ask the Lord, trust the Lord, and wait for the Lord to answer.
Psalm 37:4: Delight thyself also in the LORD; and he shall give thee the desires of thine heart.
5: Commit thy way unto the LORD; trust also in him; and he shall bring it to pass.

Finally, if we pray for things that are selfish, sinful, or trying to make ourselves look good and get the glory, God will not answer that kind of prayer.
James 4:3: Ye ask, and receive not, because ye ask amiss, that ye may consume it upon your lusts.
In the old testament, Abraham is an example of someone who had great faith, but the bible says he gave all the glory to God.
Romans 4:20: He staggered not at the promise of God through unbelief; but was strong in faith, giving glory to God;
21: And being fully persuade that, what he had promised, he was able also to perform.