We can pray to the Father, the Son, or the Holy Spirit as all three are one God. The Bible shows people praying to different persons of the Trinity at different times. While the form of address may differ, praying to one person of the Trinity is praying to all, as they are one. Prayer is a form of worship and the Bible teaches we should only worship God, so we are not to pray to other beings like saints or spirits. In summary, the key is that we pray to God, as the Trinity are one, and prayer is a form of worship reserved only for God.