The afterlife is a massive mystery, and in this video, we detail what the New Church believes happens (both in general and step-by-step). The short answer is that life simply continues, but in a more beautiful and real way than we can possibly imagine.
"In prayer, when inspired by God, there is always the thought and belief that the Lord alone knows whether what is sought would be beneficial or not. Therefore the one who prays leaves the Lord to decide whether to listen to what he asks for, then accordingly pleads that the Lord's will may be done, not his own, in keeping with the Lord's words uttered in Gethsemane"