In general you should keep praying. No, the door is never slammed from heaven permanently. However, you should reexamine your prayer and pray for the right things in the situation. You should also back it up with action.
In general, there is no limit to constructive prayer. G-d always hears you and has mercy. (Here is a story I have heard in Yeshivah.) A woman once asked R' Chaim Kanievsky if she should stop praying for relief of her suffering because she sees no change? He answered that she should continue praying. 1) She may not have earned enough merit yet through the prayers. 2) She may have been decreed to undergo a certain amount of difficult times and the prayer may be speeding things up for her.
However, in the specific case of praying that someone else should feel a certain way, there is a problem. How can you expect that G-d will brainwash someone for you? Lets look at it from another angle. How would you feel if, after you cultivated this romantic relationship with your friend successfully, another woman who you absolutely do not like, would pray that G-d change your mind and make you fall in love with her instead?? What would you think of G-d if he granted that prayer and forcibly changed your mind so that now you dumped your intended girl who you worked for, so you could falsely feel attracted to the other woman?
Here are my humble suggestions on what you should pray for.
1) To know if the romantic relationship you seek is good or bad for you?
2) If it is bad, ask for help to realize you should keep your distance despite the attraction.
3) If it is good, ask for help in recognizing why you are not succeeding in attracting her as well? Specifically, ask that your eyes are opened to the flaws in your character that may be blocking the relationship? Ask for help in knowing how to attract her if she is someone for you.
4) Ask G-d to help you understand your friend's mind and feelings.
5) Tell G-d you are lonely, and it is not good to be alone. Ask him to either grant you this one, or if she is not the one, to grant you someone good for you quickly instead.
Next, you should take the advice of the Mishnah Pirkei Avos Ch 2:4. "..nullify your will in front of G-d's will in order that He should nullify the will of others before your will."
Find something in your service of G-d that you are neglecting. Change your ways and do better. Then, if this girl is for you, but there are just issues blocking the situation, your merits of change, with your prayer, will nullify the opposition.
Finally, you should invest in a book about relationships and self esteem/self-confidence. Investigate how hard it is for some women (and why) to view a friend as a romantic interest. Discover if you are lacking in self esteem or confidence by wanting a specific someone else too much? This shows G-d you are willing to make a practical effort as well as praying for supernatural intervention.
When you pray and also couple your prayer with serious honest and sincere effort in this world too, the combination will bear fruit and happiness.
I hope this helps. :)