Let me ask you a question in return: What exactly have you been asking God to do about your problems? Have you simply been asking Him to take them away? It's not wrong to pray that He'll do this -- and sometimes He does. But we also need to realize that sometimes He has a different answer for us, if we'll only receive it.
Let me explain. God loves us and wants us to bring our wishes and concerns to Him. When we do this, we can have confidence that He hears our prayers as we come to Him in the name of Jesus, our Savior. But how will God answer our prayers? Will He answer them exactly the way we want Him to? No, not necessarily, because we see only a small part of the picture. He sees the whole picture and knows what's best for us. Often what we think is best actually isn't.
This is why we need to pray most of all for God's will to be done, and not just our own. 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). Are you honestly seeking God's will in your prayers?
Sometimes God answers our prayers very directly and clearly by taking away our burden. But sometimes He doesn't. Instead, He answers by giving us the strength and courage to persevere and keep from being crushed by our burden. Never forget: God loves you, and His way is always best.