Protestants do not pray to the saints (like Mary, or any other "saint"). We pray only to God. Since God is revealled to Christians in 3 different ways (what we call different "persons"), you will hear Protestants paraying to The father (God the creator, in Heaven), or to Jesus (who is God incarnate in human flesh), or to the Holy Spirit (the on-going presence of God in the world).
Because we pray to those 3, we don't bother praying to the saints.
Protestants base their beliefs and actions on Scripture (the Bible), and since the Bible doesn't recommend praying to saints (who, after all, are dead), we just stick to praying to God.
Some Protestants (such as certain Anglicans, or certain Lutherans) may pray to the saints, but if they do, they are careful to not ask the saint for anything. Instead they ask the saint to pray for them to God the father.