I was bothered by this question and a couple of others, to the point where I was motivated to do a transliteration form the ancient Greek. The direct answer to your question is that this line originally read "Lead us not into trial", referring to the trials of the Roman inquisition. You might wish to look at the whole transliteration. It's posted at my site *edit*
"It can also be read as: "LORD, do not let us be led (by ourselves, by others, by Satan) into temptations". Since it follows shortly after a plea for daily bread (i.e., material sustenance), it can be seen as referring to not being caught up in the material pleasures given"
There are some who suggested that it may have something to do with Job in the OT, where Satan told God that the only reason Job is faithful is because God provides for him and God thereafter allowed Satan to take away almost everything Job had. In this regard this part of the prayer is asking God to help us unless we won't be able to handle such a situation