"Take heed, therefore, brethren, for the enemy hath a special eye upon you. You must have his most subtle insinuations and incessant solicitations and violent assaults. As wise and learned as you are, take heed to yourself, lest he out wit you. The devil is a greater scholar than you, and a nimbler disputant. He can transform himself into an angel of light to deceive. He will get within you and trap up your heels before you are aware... his bait shall be so fit for your temper and disposition that he will be sure to find advantages within you, and make your own principles and inclinations betray you. And whenever he ruineth you, he will make you the instrument of ruin to others. Oh, what a conquest he will think he has got if he can make a minister lazy and unfaithful... He will glory against the church and say, 'These are your holy preachers! See where their preciseness is and whither it brings them.' He will glory against Jesus Christ Himself and say, 'These are Thy champions! I can make Thy chiefest servants abuse Thee! I can make the servants of Thy house unfaithful!'" --Richard Baxter (1615-1691)
I think if you examine the question a little deeper you will find that Catholics do pray to the Holy Spirit.
Also I know that he is our counselor and friend and as such I can understand addressing the Holy Spirit.
Also there is a few worship songs where the lyrics are speaking directly to the Holy Spirit such as "Oh Holy Spirit come fill this place".
I see no real problem praying to any person of the God Head but Jesus when asked by the disciples to teach them to pray addressed Our Heavenly Father (God). It could be argued that Jesus did this since He had not died or sent back the Holy Spirit at this point in time.
Again we are praying to God and God is God the Father God the Son and God the Holy Spirit. As humans we are incapable of fully understanding the God Head let alone trying to separate Them.
EdB: Dear Brother, I too had never heard of praying to the Holy Spirit until a somewhat recently. But the topic was not asked of me so I mulled it over in my mind and gave into some basic research and came up rather blank. So thank you for your input.
"...be you a professing Christian or no, it is repent or perish. For every one of us, church members or otherwise, it is either turn or burn -- turn from your course of self will and self-pleasing; turn in brokenness of heart to God, seeking His mercy in Christ; turn with full purpose of heart to please and serve HIM: or be tormented day and night, forever and ever, in the Lake of Fire. Which shall it be? Oh, get down on your knees right now and beg God to give you the spirit of true repentance." --A. W. Pink