“Pray that you won’t enter into temptation.” (Luke 22:40)

Jesus is speaking directly to his close disciples who followed him up to Mount Olives after the 'last supper.' Here is the situation with the verse above, from the Lost Gospels of Jesus:
Then he left and – as was his custom – went to the Mount of Olives. And the disciples followed him. When he arrived there, he told them, “Pray that you won’t enter into temptation.” (Luke 22:39-40)
So why is Jesus telling his disciples to pray they won't fall into temptation? Weren't they saved, since they were with Jesus?

Or - for those who teach that Jesus' crucifixion automatically saves everyone who declares it - why was Jesus asking them to pray they wouldn't fall into temptation - since he was going to be crucified the next day?

Furthermore, why did Jesus instruct them to pray for this?

Because Jesus knows that only the Supreme Being can offer us protection.

And Jesus is God's representative - so he was representing to them the need to turn to the Supreme Being for protection.

Jesus clarified this role of being God's representative elsewhere:
“My teaching is not my own. It comes from the One who sent me." (John 7:16)
"For I did not speak on my own, but the Father who sent me commanded me to say all that I have spoken." (John 12:49)
These clear statements made by Jesus himself state Jesus' role and position clearly. There is no arguing with this. There is no debate with this. These statements (along with others) are not speculative interpretations of who Jesus is - as was done three hundred years later in the Nicene Synods that led to the Roman Catholic Nicene Creed - and through the centuries by sectarian prognosticators. These statements are being made by Jesus himself.

These and other statements and actions by Jesus also indicate that Jesus also sought and received protection from God through prayer. This is communicated by the very prayer that Jesus himself made to the Supreme Being directly after saying this to his students:
He knelt down and began to pray: “LORD, if it pleases You, take this cup away from me, but let Your will – not mine – be done.” (Luke 22:41-42 DT)
Jesus was praying to the Supreme Being to allow him to serve God - to do God's will instead of his own will.

What kind of relationship seeks to please someone else? What kind of relationship seeks to do the will of someone else?

A relationship of love. A relationship of service: Loving service. Jesus loves God and wants to please his Beloved.

And this is precisely what Jesus was trying to teach his students. He was trying to teach them and each of us - by his example and his message - to give our hearts to God.

This is also why Jesus asked them to pray that they don't fall into temptation. What is temptation?

The Greek word being translated into temptation in this statement is πειρασμός (peirasmos). According to the lexicon, this word means, "the trial of man's fidelity, integrity, virtue, constancy" and "of the condition of things, or a mental state, by which we are enticed to sin, or to a lapse from the faith and holiness."

Thus we find the word relates not just to enticement, but also a test or trial. Why is this important? Is God tempting us in order to test our faith?

No. Actually, it is our lack of connection and faith in God that brings temptation in our lives. But yes, temptation still presents a test or trial for us - but not by or for the Supreme Being.

God already knows our hearts. He doesn't need to test us.

Actually, temptation is presented to us in order for us to understand our own position. These tests let us know that we are weak by ourselves. That we need the Supreme Being in order to be strong - because strength comes from the Supreme Being.

This is also why Jesus instructed they pray.

James also confirmed these points:
When tempted, no one should say, "God is tempting me." For God cannot be tempted by evil, nor does he tempt anyone; but each person is tempted when they are dragged away by their own evil desire and enticed. (James 1:13-14)
This of course contradicts the notion taught by many sectarian teachers that state that sin is someone else's fault. Some teach that it's all Adam and Eve's fault - the "original sin." Others will teach that sin is all the devil's fault - that there is someone running around tempting each of us.

Rather, we are responsible for desire, and the temptations that result from our desires. Whether we are having a particular desire at the time of temptation or we have had the desire in the past, temptations are the result of our desires.

And where do desires come from? They come from the wish to enjoy. We are seeing ourself as the enjoyer and everything around us as the objects of our enjoyment. This leads to desire.

The problem is that by nature, we are not enjoyers. Even when we get what we want we are not happy. We can see this when we look within us and around us. We can see that when we do achieve our desires, they do not fulfill us. They do not make us happy. When we get the sensual object we are seeking - or we get some money or attention or admiration from others, we are never satisfied. We only want more.

We can also see this when we look at others' lives. We see some who have achieved their dreams of wealth, fame and power - yet we find they are not happy. They are not fulfilled. They still seek more. This is why we find so many wealthy, famous people succumbing to drugs and alcohol - some even dying of overdoses or committing suicide. Why? Because achieving our desires do not satisfy us - because we are not enjoyers.

Actually, the Supreme Being is the only Enjoyer. He is God - with the full capacity of enjoyment.

And our nature is that each of us are the subjects of the Supreme Being. We are His loving servants. We can only be fulfilled when we are loving the Supreme Being and pleasing the Supreme Being.

So we become fulfilled when we take shelter in the Supreme Being.

This is what drove Jesus to preach this message despite being under the threat of persecution. Jesus kept teaching even though it would lead to his persecution because he wanted to please the Supreme Being. And he wanted to show his students just how important love for God is.

This is why, when asked what was the most important instruction, Jesus said:
"'Love the Lord your God with all your heart and with all your soul and with all your mind.' This is the first and greatest commandment." (Matt. 22:37-38)