Can't sleep

What does one do when they can't fall asleep? No need to drink alcohol, that could be a lifelong problem. There is nobody to call when one is up at three or four in the morning. Television is a waste, there is nothing on. Personally the best I can hope for is a good CD, or one that touches my soul on that particular night. Tonight I'm not having any luck with that either. R. Kelly won't help me fall asleep, nor will Jamiroquia, or Diana Krall.
I've been laying in bed since at least 11 o'clock. Tried every sleeping position, did the regular "r u up" text, and all things in-between. Yes I tried prayer as well, to no avail. This happens to me atleast once a week. I'm closer to the Lord now than I have ever been, and more in tune with myself than I have ever been. I know I'm depressed, but I feel as though the Lord is holding back something from me, or I'm not seeing what he is trying to tell me, and I won't be able to have a good night's rest again until I figure it out.
Can anybody out there tell me how to pray properly. How can I get that direct line to Jesus, so that I can be first on the list when I pray. If somebody out there in the blog world can forward me the format on how to pray properly I will happily accept it. Just e-mail me here and I will take your advice. Because being lonely is not a feeling I enjoy having.