Preterm birth is the most common and costly complication in obstetrics. It complicates up to 11 % of all pregnancies and it is responsible for 70% of sick babies. Recently two studies have shown that giving progesterone (a normal hormone made by the ovaries) prolongs gestation in women who have had a preterm birth in an earlier pregnancy (and therefore are at risk for another early delivery). There are other studies that show that this technique of giving a weekly shot of progesterone does not prevent preterm birth. In addition, There are other groups of patients who are at very high risk for preterm birth which have not been studied. They include: 1.) Cervical cerclage (a stitch in the mouth of the womb); 2.) Multifetal gestation (twins, triplets, etc.); 3.) Women with preterm (<34 weeks) rupture of the membranes; 4.) Women with preterm labor during the current pregnancy with intact membranes who have been tocolyzed (have their labor stopped and are getting ready to go home). We purpose to give weekly shots of progesterone or a placebo in a randomized fashion to women in the first group who are at risk for preterm delivery due to an early birth in a previous pregnancy as well as the other four groups listed. If progesterone given weekly is successful at preventing early delivery as compared to the placebo group then great benefit for these women as well as future pregnancies would be accrued.