The first temptation to enter the world was delivered to Adam and Eve through the serpent (Satan) in the Garden of Eden. God specifically instructed Adam and Eve to not eat from the Tree of Knowledge of Good and Evil. However, Satan deceived them saying that they would be "like God" if they would eat of the fruit. Adam and Eve, through their wanting to be Gods, apart from God, and not in accordance with Him, fell into this great temptation. As a result, sin entered the world. This sin is called "original sin." Every human being that came afterwards would inherit it, and would have separation from God. This sin is in all of us and causes ignorance, suffering, and the dominion of death. It causes us to be inclined towards sin. God forgives this sin through Baptism, but we must live with its effects.
By praying the sixth petition: "and lead us not into temptation," we are trying to stay a step ahead of sin. We are asking that God keep us away not just from sin, but from what comes before it - the temptation to sin.
An example would be pornography. Watching pornography is already a sin because it causes us to lust in our heart, something that Jesus clearly condemns in his Sermon on the Mount. So we not only ask God to keep us from that sin itself, but also to keep us from anything that would lead/cause us to commit the sin to begin with. For some people, that might mean keeping them away from bad company, certain friends. For others, it might mean giving the strength and will to avoid certain television shows, movies, or other media. It all depends on the strength of the individual person to resist temptation. In fact, God allows each of us to be tempted to various extents, each to our own ability, in order that we may grow strong in our resistance to temptation (we call these trials).
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