Preterm birth is the leading cause of perinatal mortality and morbidity. In a recently completed trial of weekly injections of 17 alpha hydroxyprogesterone caproate (17P), the National Institute of Child Health and Human Development (NICHD) Maternal Fetal Medicine Units (MFMU) Network found the treatments significantly beneficial in the prevention of recurrent preterm birth. Other studies have shown that fish oil supplementation can reduce the risk for preterm birth. The purpose of this study is to determine whether Omega-3, a polyunsaturated fatty acid nutritional supplement, in addition to injections of 17P, further decreases the rate of preterm birth in women at risk.