The Screwtape Letters is collection of letters which involves the correspondence from a senior demon to his protégé, providing advice in how best to influence mortals into ensuring their damnation. The patient, in these terms, is the human being the junior demon is working on, while the Enemy is God. This particular quote comes from the fourth letter, focused on the subject of prayer.
Ultimately, this line of thought your quote pertains to is introduced by an earlier statement by Screwtape in the same letter. Thus, he writes:
We have a subtler weapon. The humans do not start from that direct perception of Him which we, unhappily, cannot avoid ... If you look into your patient's mind when he is praying, you will not find that. If you examine the object to which he is attending, you will find that it is a composite object containing many quite ridiculous ingredients.
Ultimately, then, as Lewis holds, humans rarely encounter God directly, but more commonly access Him indirectly. This is perhaps most obviously seen through various intermediary symbols such as religious icons or religious artwork, which are meant to stand in for God (such would be the case with the crucifix Screwtape alludes to). Furthermore, there is the added complication that human beings labor under their own assumptions and expectations concerning God, which would be quite different than the divine reality of what God actually is.
Thus, Screwtape's advice here involves a kind of substitution, by which these various human-made constructs ultimately become preferred over the divine reality of God. If the demon can influence the patient to pray to a physical icon or a crucifix rather than the God that it stands for, then the human being is essentially committing idolatry (whether he or she is aware of it or not). Similarly, if the demon can influence the patient into focusing their attention on their own personal God (a God that is ultimately artificial), then they are no longer praying to God but rather to a creation of their own imagination and sensibilities. In either case, the demon has successfully won this battle, turning the worshiper away from God in favor of (what is ultimately) an empty construct.