What you're really wondering, I suspect, is whether or not God actually hears your prayers -- and I want to assure you that He does. The reason is because He loves you and wants what is best for you.
Does this mean He always answers our prayers the way we think He should? No, it doesn't -- but the reason is because He sees the whole picture, while we see only a part. We think we know what would be best for us -- and sometimes we do. But sometimes God knows that what we're asking for isn't what we really need; it may even be harmful for us. And because He loves us, He sometimes says "No" to our demands.
This is why we must always seek God's will when we pray. Yes, bring your requests to God, and share your burdens with Him. But above all, pray for His will to be done in your life. The Bible says, "This is the confidence we have in approaching God: that if we ask anything according to his will, he hears us" (1 John 5:14).
Does prayer change things? Yes, it does -- when we truly seek God's will. Sometimes He changes the situation, and it isn't wrong to pray that He will. But sometimes He changes us, strengthening us from within and increasing our faith so we'll get through life's hard times. Put Christ and His will first in your life, and then trust God to go before you and show you His will.