Keep in mind that God doesn’t necessarily give you what you ask for from Him. He gives you what is best for your soul. Many saints would often thank God right after they prayed for a favor of some kind. We ought always to respond with gratitude for what he gives but this gratitude can’t happen unless there is some amount of trust, or confidence, that he is with us and doing what is best for us at the time even though it may not seem like it.
Yes, I like what Xantippe said about prayer changing us. It can be a very very long process depending on how stubborn we are, attached to our own plans and will and desire, etc. etc. ( know the last part through personal experience. )
Still, God does desire to give us certain things, but He wills that we ask for them from Him before He bestows them. Sometimes we wait a very very long time. Don’t forget, though, sometimes, God just says “No”. I will not give you that. God knows what is best for us.