In [Matthew 6:6](http://www.biblegateway.com/passage/?search=Matthew%206:5-8&version=NIV), Jesus speaks of praying in some detail (emphasis added):
> <sup>**6**</sup> But when you pray, go into your room, close the door and **pray to your Father**, who is unseen. **Then your Father, who sees what is done in secret, will reward you.**
So when you pray, you are to pray to God. Within the scope of Christianity, the definition of "pray" (the most fitting one [from dictionary.com]) is:
> to make earnest petition to (a person).