Do you feel that way asking a living human to pray for you? I ask living humans to pray for me, but I certainly don't neglect to pray for myself, even if that is in the context of praying for mercy for the world.
Praying for one another is a fundamental part of what we do as a church family. Some people are particular gifted at certain types of prayer, eg healing.
The friend is praying to God, through Jesus, in the power of the Holy Spirit. You are not praying to the friend.