What to pray about?
One example, we can see from a letter that Paul wrote to the Colossians church (Colossians 1:9-14), "For this reason, since the day we heard about you, we have not stopped praying for you and asking God to fill you with the knowledge of his will through all spiritual wisdom and understanding. And we pray this in order that you may live a life worthy of the Lord and may please him in every way: bearing fruit in every good work, growing in the knowledge of God, being strengthened with all power according to his glorious might so that you may have great endurance and patience and joyfully giving thanks to the Father, who has qualified you to share in the inheritance of the saints in the kingdom of light. For he has rescued us from the dominion of darkness and brought us into the kingdom of the Son he loves, in whom we have redemption, the forgiveness of sins.
How do we pray?
One way Jesus taught His disciples (Matthew 6:6), "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."
Do I have to pray?
Well, yes. Because Jesus, Himself prays. His disciples also prays. Jesus commanded us to love God with all our heart, mind, and soul as well as to love one another.
Why do we pray?
Praying is like talking with someone, plus focusing all your time, energy, and mind into the person you are talking with about something. (Remember when Jesus prays in the garden, "his sweat was like drops of blood falling to the ground" (Luke 22:44)
Just like talking, praying can be in a form of giving thanks, asking, sharing your thoughts, ...
The more you spend time talking with someone, the more you know about that person :)
When can we pray?
Now :P, 24-7....