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(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.)
Longer explanation:
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.
Hang on...
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!
Upvote:4
I will give a Lutheran response. As pointed out, "The Apology to the Augsburg Confession" 24, para 96, clearly affirms that prayers for the dead should not be forbidden in its churches.
A Lutheran service in respect to prayers for the dead will often include the following.
β¨O holy and righteous God, it has pleased You to call from this life Your servant _____ Let us learn from this death that we, too, must die and leave this world, in order that we may prepare for it in time by repentance, a living faith, and avoiding the sins and vanities of the world. Refresh the soul that has now departed with heavenly consolation and joy, and fulfill for it all the gracious promises which in Your holy Word You have made to those who believe in You. Grant to the body a soft and quiet rest in the earth till the Last Day, when You will reunite body and soul and lead them into glory, so that the entire person who served You here may be filled with heavenly joy there. Comfort all who are in grief over this death, and be and remain to the bereaved their Father, Provider, Guardian, Helper, and Support. Do not forsake them, and do not withdraw Your hand from them, but let them abundantly experience Your goodness, grace, love, and help, until You will grant them also a happy and blessed end. Hear us for Your mercyβs sake. Amen.
In sure and certain hope of the resurrection to eternal life through our Lord Jesus Christ, we commend to Almighty God our brother / sister N., and we commit his / her earthly remains to the ground (or the deep, or their resting place): (earth to earth,) ashes to ashes, dust to dust.
The Lord bless him / her and keep him / her, the Lord make his face to shine upon him / her and be gracious to him / her, the Lord lift up his countenance upon him / her and give him / her peace.
Prayers for the dead may include such thoughts expressed to the Lord such as, "tell them I love them!" or prayers along the line of asking the Lord to bless loved ones so that they experience certain things in heaven ahead of time before the general resurrection to come - e.g. greeting of pets (analogous to a rainbow bridge concept), tasting the wine (aged in barrels?) being prepared for the wedding feast of the lamb, etc.
Prayers for the dead might also include that they would be aware of certain earthly situations and would therefore pray with the company of heaven for special needs on the earth. This is a bit different than Roman Catholic or Eastern Orthodox prayers in that the focus is more on Jesus. In other words, the focus is on loved ones in heaven looking into the eyes of Jesus and seeing a reflection of what is happening on the earth.
At least some aspects of the context of what the Lutherans Confessions mean, by not forbidding prayers for the dead, can be found in notes from the year 1530. The following comments are taken from the minutes of an early meeting (August 16th & 17th) in which the representatives of Rome heard from the representatives who subscribe to the Augsburg Confession in the 16th century. The quote comes from the book, Confessing One Faith: A Joint Commentary on the Augsburg Confession by Lutheran and Catholic Theologians:
They agree in the first place that all the saints and angels in heaven intercede for us with God. Secondly, that it is both pious and right to remember the saints and observe festivals on which we pray God to let the intercession of the saints avail for us. But whether the saints are to be invoked by us was not agreed on. Indeed, they say that they do not prohibit it, but since Scripture does not teach the invocation of the saints they themselves do not wish to invoke them, not only because Scripture does not teach it, but also because it seems to them to be a dangerous abuse. (Emphasis added)
For further study on the many nuanced issues related to this question, see the 1985 article Mary and the Saints as an Issue in The Lutheran Confessions by the Lutheran theologian Robert W. Bertram.
Another helpful article from a Lutheran pastor is Prayers for the Dead: A Scriptural and Lutheran Worldview.