Question: "Why did Jesus instruct us to pray 'lead us not into temptation' when God states that He does not tempt us?"
Answer: We know from James 1:13 that God does not tempt us to sin. If He did, He would be acting contrary to His holy nature, against His desire for us to be holy as He is holy (1 Peter 1:16), and against all other commandments in Scripture that tell us to avoid sin and flee temptation. In the Lord’s Prayer (Matthew 6:9-13), Jesus included asking the Lord not to lead us into temptation as one of the things we are to pray for regularly, along with forgiveness of sins, daily provisions, and seeking God’s glory and kingdom. From this list, we can see that avoiding temptation should be one of the primary concerns of the Christian life.
The idea of God leading His people is a main theme of Scripture. The Psalms especially are filled with pleas for God to lead us in His ways (Psalm 5:8; 27:11), by His truth and righteousness and in “the way everlasting” (Psalm 139:24). Along with leading us to good things, it is understood that we are asking God to lead us away from evil. The petition not to be led into temptation reflects the believer’s desire to avoid the dangers of sin altogether. This phrase, then, must be understood in the sense of "permitting." Do not "allow" us, or "permit" us, to be tempted to sin. In this it is implied that God has such control over the tempter as to save us from his power if we call upon Him.
There is another sense in which we are to plead with God not to lead us into temptation. The word “temptation” can also refer to trials. We know from 1 Corinthians 10:13 that God will not test us beyond our ability to bear and will always provide a way out. But He sometimes subjects us to trials that may expose us to Satan’s assaults for His own purposes, as in the case of Job and Peter (Luke 22:31-32). If this is the meaning here, as it may be, then the meaning of the prayer is, "Do not afflict or try us." It is not wrong to pray that we may be delivered from trials and suffering, as long as we submit ourselves to the will of God, no matter what it is. The believer can rightly ask to be delivered from this type of testing as well as asking for the strength to endure it if it does come.
In both senses, whether asking for God to lead us away from sin or from difficult trials, the goal is found in the second part of verse 13: “deliver us from evil.” A petition similar to this is offered by David in Psalm 141:4: "Incline not my heart to any evil thing, to practice wicked works with the workers of iniquity." In all things, God is our deliverer and we are to pray to Him as such.