JOEL - Actually Joseph was only praying to God the Father. Some of the early leaders of the Church sometimes used the name "Jehovah" as they spoke about or to God the Father, using it as a title rather than a name. Another example is in the following prayer of Joseph Smith:

"O Thou, who seest and knowest the hearts of all men - Thou eternal, omnipotent, omniscient, and omnipresent Jehovah - God - Thou Eloheim, that sittest, as saith the Psalmist, "enthroned in heaven," look down upon Thy servant Joseph at this time; and let faith on the name of Thy Son Jesus Christ, to a greater degree than Thy servant ever yet has enjoyed, be conferred upon him..."(Joseph Smith. History of the Church. Vol.5. p.127)

More recently in the church we have avoided using the term "Jehovah" for God the Father to help avoid confusion about who we are talking about. This also happens a few time in the Old Testament where some prophets refer to God the Father as "Jehovah". This is part of the reason why there is some confusion about who the God of the Old Testament really was. But in most cases in the scriptures the name "Jehovah", is obviously refering to Jesus Christ.
Our prayers should always be directed to our Father in Heaven in the name of Jesus Christ . (Matt. 6:9, Luke 11:2, D&C 18:18) It is God the Father who, as the father of our spirits, is responsible for answering our prayers. He is the Supreme Being. So out of respect for Him, it is to Him that our prayers should be directed.

TANYA - I have another question...We are to pray to Heavenly Father and he is the one responsible for answering our prayers, I thought the Lord answered our prayers...like when Jesus created the earth, and everything on it...Father was like supervisor and Jesus did the work. For example, when people say the Lord answered my prayer, I feel so close to the Lord, etc. When we pray to the Father aren’t we also praying to Jesus in a round about way since they all think and would do as the other in any given situation? Sometimes it is hard segregating the two. How do you do this? This is different than when I was a Baptist...being a convert can be challenging. I believe Jesus hears our prayers as well as Heavenly Father, what is your opinon?

JOEL - I agree with your thinking. Perhaps I should have been a little more clear on what I said. We pray to the Father and even though He is the one who is ultimately responsible for an answer, it is Jesus Christ who actually does the answering. The entire Godhead is in fact very closely involved in the hearing and answering of our prayers. It's hard to segregate them because they are not supposed to be segregated. As the scriptures say they are "one" (John 17:11,21,22). One in purpose and in deed. Jesus is our mediator and advocate with the Father(1 Tim. 2: 5), and according to the laws of intercession, advocacy, and mediation, our answers come through the Son. Think about when Joseph Smith prayed in the grove of trees. Who was it that answered his prayer? Both God the Father and Jesus appeared to him, but in fact Jesus did most of the talking. And so it was with the prophets in the old Testament.

TANYA - I was wanting to know the scriptures involved in the law of advocacy, mediation, and intercession. Also, is it okay to "talk" to Jesus, but nor formerly pray to him, like for instances, thanking him for answered prayers, or telling him you love Him, since He is our brother and friend, I really miss not being able to do this (since we converted)being told we could not longer pray to Him, but pray to Father in Jesus' name. In RS we were talking about the Holy Ghost and a sister said, I thank him for being my companion and friend. This seemed so sweet, is this okay, or is there scripture to support this.

JOEL - If you want to talk to Jesus, talk to Him if it makes you feel better. Sometimes I talk to my own father who died when I was very young.
The scriptures tell us that it is important to know and be close to Jesus:

"All things are delivered unto me of my Father: and no man knoweth the Son, but the Father; neither knoweth any man the Father, save the Son, and [he] to whomsoever the Son will reveal [him]." (Matt 11:27)

In other words, Jesus is telling us that because He knows God, we can get closer to God the Father by getting closer to Him(Jesus).
There's nothing wrong with keeping the relationship you felt you had with Jesus, it's just that we have been counseled by our church leaders that we should not single out any particular member of the Godhead to have a personal relationship with. And of course Jesus Himself said that we should pray to the Father:

"And in that day ye shall ask me nothing. Verily, verily, I say unto you, Whatsoever ye shall ask the Father in my name, he will give it you." (John 16:23)
"After this manner therefore pray ye: Our Father which art in heaven, Hallowed be thy name." (Matt. 6: 9)

As you think about your relationship with Christ and your prayers to the Father, it may be helpful for to think about our premortal life. The Father’s plan was presented for our sustaining vote. Lucifer wanted the power and glory for himself, but Christ, in his wisdom and humility, realized that the honor and glory should go to the Father. For this reason, he said, “When ye pray, say, Our Father which art in heaven.” (Luke 11:2.)

We should always keep a spirit of thankfulness in our heart for the entire Godhead. I don't think there's anything wrong about thinking about them one at a time if you want; just keep in mind that the honor and glory of what we do and say go to the Father.

And now here are a few scriptures supporting the role of advocat, intercessor, and mediator that Jesus plays for us:

"Wherefore, he is the firstfruits unto God, inasmuch as he shall make intercession for all the children of men; and they that believe in him shall be saved. And because of the intercession for all, all men come unto God; wherefore, they stand in the presence of him, to be judged of him according to the truth and holiness which is in him. Wherefore, the ends of the law which the Holy One hath given, unto the inflicting of the punishment which is affixed, which punishment that is affixed is in opposition to that of the happiness which is affixed, to answer the ends of the atonement— " (2 Ne 2:9-10)

"And he shall come into the world to redeem his people; and he shall take upon him the transgressions of those who believe on his name; and these are they that shall have eternal life, and salvation cometh to none else." (Alma 11:40)

"Listen to him who is the advocate with the Father, who is pleading your cause before him— Saying: Father, behold the sufferings and death of him who did no sin, in whom thou wast well pleased; behold the blood of thy Son which was shed, the blood of him whom thou gavest that thyself might be glorified;
Wherefore, Father, spare these my brethren that believe on my name, that they may come unto me and have everlasting life." (D&C 45:3-5) "MY little children, these things write I unto you, that ye sin not. And if any man sin, we have an advocate with the Father, Jesus Christ the righteous: And he is the apropitiation for our sins: and not for ours only, but also for the sins of the whole world. (1 John 2:1-2)

"Lift up your hearts and be glad, for I am in your midst, and am your advocate with the Father; and it is his good will to give you the kingdom." (D&C 29: 5)

"I am the first and the last; I am he who liveth, I am he who was slain; I am your advocate with the Father." (D&C 110: 4)

For there is one God, and one mediator between God and men, the man Christ Jesus;" (1 Tim. 2: 5)

"Wherefore, men are free according to the flesh; and all things are given them which are expedient unto man. And they are free to choose fliberty and eternal life, through the great Mediator of all men, or to choose captivity and death, according to the captivity and power of the devil; for he seeketh that all men might be miserable like unto himself.
And now, my sons, I would that ye should look to the great Mediator, and hearken unto his great commandments; and be faithful unto his words, and choose eternal life, according to the will of his Holy Spirit;" (2 Nephi 2:27-28)

"Jesus saith unto him, I am the way, the truth, and the life: no man cometh unto the Father, but by me." (John 14:6)