[ Tilts back in his seat a bit, looking up. ] The short version, is that a lot of people have what they call a religion -- faith. Something they believe in. And there's usually one or more "gods" or people like that, at the top that... may or may not exist and, whenever they want to "talk" to this god or goddess or whomever, they pray.
It's like... shouting at the clouds, expecting an answer to "why is it raining?" They'll never get an answer, but just shouting makes people feel better. [ ...that sounded better in his head. ]