Prayer is a religious exercise. When the government calls for a day to recognize a religious exercise, that DOES qualify as establishing a state religion.
Karl Sniderman's letter in today's Tulsa World quotes Thomas Jefferson on the subject:
"I consider the government of the United States as interdicted by the Constitution from intermeddling with religious institutions, their doctrines, discipline, or exercises. . . . Certainly, no power to prescribe any religious exercise or to assume authority in religious discipline has been delegated to the general government. . . . Everyone must act according to the dictates of his own reason, and mine tells me that civil powers alone have been given to the president of the United States, and no authority to direct the religious exercises of his constituents."