A: It's not so much that we're praying AGAINST temptation as much as we're being taught to pray that we might get PAST temptation without giving in.
We are all tempted but temptation alone is not sin. So the petition here is asking to be saved from being sucked INTO the temptation. This petition basically expresses a healthy distrust of one's own ability to resist temptations or to stand up under trial. It acknowledges that our dependence is on the Lord to see us through.
The Greek word "lead" has the idea of "bringing inward." So "Lead us NOT..." essentially expresses the idea of "Do not allow us to be carried INWARD to temptation..." or "do not allow us to be carried away INTO temptation..."
David prayed a similar prayer when he said: Do not let my heart incline to any evil, to busy myself with wicked deeds in company with men who work iniquity, and let me not eat of their delicacies! Psalm 141:4 (ESV)