(Note: This is not intended to be a Lutheran-specific answer. However, Lutherans are Protestant, and as far as I know, nothing here contradicts any Lutheran-specific teaching.)
TL;DR: They don't. (Mostly.)
Protestants generally don't pray for the dead, as that is not scriptural: see for example What does the Bible say about praying for the dead? Once someone dies, their eternal fate is set and can no longer be altered. Prayer for the dead is one of many Roman Catholic theologies that Protestants regard as heretical.
Now, what Protestant might do is pray with the dead, in the sense of recognizing that when we praise God, the dead in Christ also do so, and thus we are in a sense "joining in". This is perhaps most famously exemplified in Lessons and Carols, when we "remember before God all those who rejoice with us, but upon another shore, and in a greater light, that multitude which no man can number, whose hope was in the Word made flesh, and with whom we for evermore are one". More prosaically, during the Prayers or Eucharist, one might hear the words "with angels and archangels, and with all the company of heaven" or similar, again emphasizing unity in worship.
Another sense, especially on All Saints Day (and this is probably similar to what you are asking about, which I presume was on Veteran's Day or some similar occasion), is to rejoice that those who have gone before, whose faith was in Christ, are now with their Creator. Again, however, these are not prayers for the deceased, but prayers of thanksgiving for the faith of others and for God's Salvation.
Note that this is also the case in memorial services, a.k.a. funerals. All Saints Day (and similar occasions, if your congregation chooses to observe them thusly) are effectively recurring, "group" memorials. Note also that "memorial" and "commemorate" have the same root; "memoror", meaning to remember or call to mind. In no way are Protestants praying for the departed. (And we are most certainly not praying to the dead!) Rather, we are honoring the memory of our brothers and sisters and reminding ourselves of their virtues.
I said "mostly", above. Why? Well, Protestants do pray "for" the dead in a certain, very general sense that is best seen in the nearly ubiquitous "rest in peace", or more properly "dona eis requiem" ("grant them rest"). While this is, technically, a prayer for the dead, Protestants understand that this is very much in line with praying "Thy will be done". That is, we aren't praying with the expectation that it will change anything, but rather we are bringing to mind God's promises to us.
p.s. I can think of only one reason to be afraid to ask your pastor about anything; because you don't trust him. If that's the case, find another pastor / congregation! Otherwise, don't be afraid to ask questions!