A recently completed trial of weekly injections of 17 alpha hydroxyprogesterone caproate (17P) found significant effectiveness for 17P in preventing recurrent preterm birth. However, the group who received 17P in this trial still had a high rate of preterm birth. Several reports have shown that dietary supplementation of fish oil, which is rich in Omega-3 fatty acids, reduces the risk of preterm birth. This trial tests whether adding the Omega-3 supplement to 17P therapy has the potential for further reducing the risk of preterm birth in women who have previously had a spontaneous preterm delivery. The trial will compare Omega-3 fatty acid with placebo in women receiving 17P therapy. The hypothesis being tested is: "Among women at high risk for preterm birth receiving weekly injections of 17P, the addition of Omega-3 nutritional supplement will further reduce the rate of preterm birth."