1 Thess5: 16 -18 Rejoice always, pray without ceasing, give thanks in all circumstances; for this is the will of God in Christ Jesus for you.

What does it mean to pray without ceasing?

How can I pray without ceasing? Praying without ceasing is a biblical term found in the Apostle Paul's first letter to Thessalonica: "Rejoice evermore. Pray without ceasing. In every thing give thanks: for this is the will of God in Christ Jesus concerning you" (1 Thessalonians 5:16-18, KJV). The Greek word "without ceasing" means continuous action. Therefore, “praying without ceasing” means to pray continuously.

How to pray without ceasing -- a heart attitude

* How does one pray continually? We cannot always be on our knees. With the daily demands on our busy lives, we are fortunate to kneel in prayer even a few minutes each day. However, the context of this passage gives us a clue. This passage focuses on heart attitude. "Rejoice always" is an attitude of joyfulness. Giving thanks in everything also requires a mental attitude of thankfulness. How do we rejoice and give thanks? Through prayer! Therefore, effective prayer is a proper heart attitude: a mental outlook of joyful thanksgiving. It expresses itself throughout the day with silent prayers of vital communication with the LORD.

* Maintaining a healthy relationship requires communication. Always be "on line" with God so when the Spirit moves you to pray, you can instantly agree with Him. The Holy Spirit prays for us with inexpressible groans (Romans 8:26). When in agreement with the Spirit, we are praying continuously. The heart attitude of praying without ceasing means an ever-open heart to the Lord’s leading.

* If we are praying without ceasing -- even while driving, changing the baby, washing dishes, or running a lawn mower -- we can be open to the leading of the Spirit when He urges us to pray for something or someone. At that time, we can agree with God and make a mental note to add that concern to our later prayer time.

* Praying without ceasing doesn’t take the place of time alone in prayer with God. However, it is a joyful experience to unite with the LORD who lays burdens on our hearts. We can't always stop and kneel, but our heart attitude can still be "praying without ceasing."

Praying without ceasing is sometimes really difficult when it seems like God is not answering...
http://www.allaboutprayer.org/pray-without-ceasing-faq.htm