Regarding your first question, it is difficult to say. This is one of those things where, when you hear it, you just know. I can say that it helps to get acquainted with God's voice in Scripture. Scripture is, after all, where we hear Him speaking. God speaks through the Law. He speaks through the prophets. He speaks His final word in Jesus.
Once you familiarize yourself with His words, then when you hear that “small, still voice” (1 Ki 19:12) in prayer, you'll know it is God. Scripture has already shown you how He speaks, how He likes to operate, what He usually says and does not say, and so you will know His voice when you hear it. “My sheep hear my voice, and I know them, and they follow me” (Jn 10:27).
Of course, any message you receive in prayer that does not coincide with Scripture or with the teaching of the Church is not from God. Any message that is not loving is not from God. Any message that attempts to belittle you or fill you with shame is not from God.
Praying more will help you too. It is through prayer that God communicates to us and us to Him. When you first meet a person, you may not recognize his voice if he calls you on the phone. But, as you get to know him better, as your relationship with him grows, his voice becomes easier to recognize. So it is with God. The more you pray the more you will come to know God's voice when you hear it.
As for your second question, prayer is primarily to the Father so we should always pray to Him first. But, we are also invited to pray to the Son and to the Holy Spirit, and this is a very good and important thing to do.
As the Catechism of the Catholic Church says:
2665 The prayer of the Church, nourished by the Word of God and the celebration of the liturgy, teaches us to pray to the Lord Jesus. Even though her prayer is addressed above all to the Father, it includes in all the liturgical traditions forms of prayer addressed to Christ.I hope that helps.
2670 "No one can say 'Jesus is Lord' except by the Holy Spirit." [. . .] Since he teaches us to pray by recalling Christ, how could we not pray to the Spirit too? That is why the Church invites us to call upon the Holy Spirit every day, especially at the beginning and the end of every important action.