The Apostle Paul, recorded in the 8th Chapter of Romans, explained part of the mystery of prayer. Having described the anticipation of our future fulfillment . . . the "foretaste of future glory," v. 8:23, Paul addressed the patience and confidence necessary to manage life in the interim, v. 8:25.

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Here's the focus section of Romans 8 . . . 

26 And the Holy Spirit helps us in our weakness. For example, we don’t know what God wants us to pray for. But the Holy Spirit prays for us with groanings that cannot be expressed in words.

27 And the Father who knows all hearts knows what the Spirit is saying, for the Spirit pleads for us believers in harmony with God’s own will.

28 And we know that God causes everything to work together for the good of those who love God and are called according to his purpose for them.

The concept of weakness . . . human limitation due to sin. . . is introduced as the portal into an exceptional teaching of God's love and grace. We know and experience in part the wonder of what is to come because of the Holy Spirit in us, the "foretaste" noted above. So, we participate in the promise of eternity with Christ, but we are not yet completed in the promise.

We have a life to live now, conducted in the context of sin, in which we are constantly reminded of our limited ability (our weakness, see v.7:15-21) and helped by the Holy Spirit.

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Within our current spiritual ability . . . our individual relationship and level of faith experience with God and his Word . . . we generally know how to pray. But there are times in which a particular difficulty or circumstance of life brings us to the end of our understanding and ability. We are easily distracted by events, intense emotions, needs and expectations, and it is not always clear how to proceed. There is often a human awkwardness to prayer, biased by circumstances for which we seek remedy. Sometimes, such an event can even shake the foundations of belief . . . "weakness."

At those times, it is difficult to know how best to proceed with God or how to know His will in a matter shadowed by our own interests. But the Holy Spirit in us is already at work, praying for us, representing us to God, pleading for us in ways that cannot be understood humanly, v. 8:26.

Here's the wonderful part. Our Heavenly Father understands completely. He knows what the Spirit is saying because they are one and the same. And, the pleadings being presented on our behalf are translated into harmony with God's will. v. 8:27. In other words, in love and grace, God intervenes in the circumstance to cause our desire for His will.

The work described in v. 8:26-27 occurs apart from our awareness. But v. 8:28, brings it back to us, "and we know that God causes everything to work together for the good of those who love God and are called according to his purpose for them."

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When we pray, the Holy Spirit is at once the Conductor of our awkward prayer, our Advocate of our hopes before the Father, the Translator of our human awkwardness or bias into God's will, and the Holy Arranger conforming matters of life into harmony with His plan. 

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And that's what happens when we pray.