It is not normal for a psychiatrist to tell you that.
I'm convinced that my voices are from the devil, and they use that as further evidence that I am a schizophrenic. "Hearing from God or the Devil or whatever other deity" is one of their textbook definitions that they often use to diagnose.
Personally I believe my voices are from the devil for sure, which leads me to believe that other people's are as well. I wish wish wish a psychiatrist would believe me for once when I tell them that!

In any event, it is not a bad idea to pray! Even if you're not religious, what harm could it do?
Also, what kinds of things do the voices say?