Books could be written about just this single verse (indeed, they have!) But Wendy wants to save space this month, so I'll summarize my answer in three quick points.
Lead. That's what the Greek text means, and "do not bring us to", which was fashionable twenty years back, is very similar. But if we say "Do not lead us into temptation", it gives the idea that God has plans for testing our faith, and we are saying "please don't!" Far from it. We are asking God to lead us. To the coming Kingdom, and not anywhere else.
Temptation. The word means testing something out. It is more about the Devil's three challenges to Jesus in the Wilderness than about sudden naughty desires (eating too many chocolates, for example!) The alternative translation, "the time of trial" sets the prayer firmly in the context of the coming Kingdom. It made more sense in days when "the time of trial" might mean being thrown to the lions. Today our temptation to abandon the Way can be just as acute.
Us. For me that is an important word. The prayer is not "Lead me not into temptation", it is "lead us". The Lord's Prayer has two dimensions - upwards to God, who leads, and sideways to others. Of course, God calls and cares for me, but God also calls and cares for us all. We are never alone when we pray.
HD