Is it only when there is no support, or all the time? Is it something the baby has always done? I know of a baby that is now eight months old and has held her head to the left her entire life due to a muscle injury during birth. She is in physical therapy, it doesn't seem to be doing a lot but then it's hard to say just how compliant the parents are being with her therapy. If it seems like this baby can't straighten his/her head, talk to your pediatrician about possible causes.