After the Lord told us not to parade our piety in public, He said to go into our own room, lock the door, and pray to our Father in secret (Matthew 6:5-6). This means, on a purely literal level, that we are to pray to God in private, and not to make a public display of our supposed righteousness or devotion.
There is, however, a deeper spiritual meaning to this room we are to enter for prayer. It is not merely our room (still less a "closet" as some translations have it), but in the Greek it is literally a "storeroom" (tameion) of which we are the stewards (tamias). As stewards, we have the key to lock or unlock the door, and we have the obligation to protect the spiritual goods within. To go into the room and to lock the door is, as we sing in the Byzantine Liturgy, to "lay aside all earthly cares, so that we may receive the King..."
But, having locked out all earthly cares, what if we discover a rat in the storeroom, something that is devouring or defiling the grain and goods within, something that cannot be locked out because it's already in, and perhaps has been for years? This obviously must be dealt with in a different way than closing ourselves off from external disturbances. But what might this rat be? Perhaps it is an inescapable memory of some past trauma; perhaps you are afflicted with a homosexual orientation or some other sexual disorder or perversion; maybe you have a bad case of scruples or a habitual inclination to rage or cruelty. Any obsessive thought or desire, any "skeleton in the closet," can be the rat in your storeroom. I would venture to guess that the majority of people have something like this lurking in their psyches or souls.
This is analogous to St Paul's "thorn in the flesh" (we still don't know what that was), concerning which he begged the Lord several times for deliverance. But the Lord replied that his grace was sufficient to manage or overcome the situation without being wholly delivered from it. We may not always be able to kill the rat, but we can bind, neutralize, or immobilize it.
I know about rats and other rodents, because they are always terrorizing my car, getting under the hood and feasting on the engine wires, trying to render the vehicle useless. I discovered something called "glue traps" that will immobilize them without killing them, thus preventing them from doing any damage. We must therefore discover, each in our own unique situation, what kind of spiritual glue trap to set in our inner storeroom. It may be psychological or spiritual counseling, a more fervent prayer and sacramental life, more radical trust in God's providence and mercy, a deeper love for the Lord and commitment to his will, a greater willingness to fight the devil and surrender to God, and most likely it will require a lot of patience. But remember that we are stewards of our own souls. We have first to learn how to close the door on all earthly cares, for the sake of prayer--then the real work begins.
So, go to your inner storeroom, lock the door, and pray to God. Learn how to immobilize the rats, and then meet the Lord within, in silence and peace. It may be that the Lord does not will your complete and immediate deliverance (so that you can learn certain lessons or be strengthened in your fidelity and trust), but his grace will be sufficient to protect your spiritual goods. In any case, do not fear. The Lord loves you and will always be with you. He works all things for the good for those who love Him. Your storeroom is safe in His hands.