You can address your prayers to the Father, Son, or Holy Spirit individually or to all members of the Holy Trinity. The Father wants to draw you into sonship or daughterhood. The Father wants you to grow in relationship with Him–to show you His Son, Jesus, and to share the Love of the Holy Spirit.
Jesus, wants to connect with you in every human way. Jesus will model for you His obedience to the Father. Jesus will draw you into Unity in the Life of the Father, Son, and Holy Spirit.
The Holy Spirity will emerse you in the Love between the Father and the Son. The Holy Spirit will be your guide and helper in understanding the Mystery of the Trinity.
In other words, through prayer you will be led to a closer relationship with the Father and the Son and the Holy Spirit.
Since the Three Persons are One you cannot pray to One without the Other Two Persons being present; however each Person is distinct and desires a relationship with you.