Jesus was not a Muslim, not at all, and regarding what you say that Jesus prayed to his Father... well, Jesus prayed to his father being God (Saint John 10:30 says:
I and the father are one) because God said in Matthew 17:5:
"...This is my beloved son, in whom I am well pleased..."
This meant that Jesus was always in full communion with his Father, and he also said in Saint John 14:28:
..."I go to the Father: because the Father is greater than I.
When he said "I am going to the Father" he meant that he was in communion with him, ALWAYS, because he was his Father.
He also meant that he was going to die on the cross of Calvary in a short time, that he would rise again, and ascend to heaven to be at the right hand of the Father. (Mark 16:19 says:
And the Lord, after he had spoken to them, was received up into heaven, and sat down at the right hand of God.)
I hope you understood it, if you didn't, tell me (it's not a bother) and I'll try to answer it in another way.