First, you need access to the praying skill.
Certain races (ex: gnome) and classes (ex: cleric) start with this skill "for free"
For other characters, they need either one of the following: a holy symbol or learn the skill from a skill scroll called praying.
With the holy symbol you will always need to have it accessible in your inventory to cast pray spells. With the skill learned, you do not need the holy symbol to cast pray spells.
Assuming the character has the ability to pray, it's easiest if you bind it to a key like this:
'use_skill praying
(hit enter)
Press the "p" key
Now, whenever you want to use the praying skill you hit the "p" key just like "s" is for the search skill, "d" is for disarm, etc.
Next, choose a cult that you want to join. Details on the different cults can be found at:
http://crossfire.real-time.com/gods
To join any of these cults, find an altar dedicated to the cult in question (many altars are available in the NW area of Scorn)
Stand on top of the altar and hold down the "p" key (assuming that is bound to the praying skill). Basically - pray on the altar of your chosen cult to become a member.
Keep in mind you can change or become a follower of a different cult later on, but it will cost you a fair amount of experience and you will loose any bonus spells and items that you previous cult gave you.
Once you join a cult, you can never become cult neutral or agnostic.