"But for dying, which is the greatest task we have to perform, practice cannot help us."
In his estimation, death is not just something that happens to us, it is something we do. We are active participants in our own death, and therefore have some responsibility. Is Montaigne right in saying that we cannot practice for our death? Death is something we only have the opportunity to do once (except in the case of someone like Lazarus). While we can't rehearse for death, we can certainly prepare for it, and I think that is almost as helpful. Death must not be a morbid obssession, but if we never give it a passing thought, it will take us by surprise. None of us knows how long we have. We can make some informed predictions, but it's like predicting the weather. Our lives are contingent on so many factors that no one can measure every one accurately all the time.
How does someone prepare for something they do not understand? First, you have to realize that death is just a passage, from one kind of existence to another. Know where you are going after that passage. Christ died on the cross as more than just an example of sacrifice or as the picture of perfect humanity. He died because all of mankind was running headlong into hell, unable to save themselves, unable to make themselves righteous. We all have sinned and fallen short of God's glory (Romans 3:23). Christ, through His death and resurrection, and by our faith in what He did, restores that righteousness, so that we can have fellowship with God. For this we were created. All those who have trusted Christ are going to heaven when they die--guaranteed. That is the first preparation.
Second, we ought to live as if each moment is our last on earth. If you knew that you only had a day to live, what would you do? How would you treat your family? How would you relate to God? This is a risky way to live, because all but one of our moments won't be our last on earth. But isn't it more risky to never do anything with your life because you felt you had all the time in the world?
In the end I think Montaigne's basic assumption is wrong. We can practice for dying by living.