Going into the game in a save situation, not giving up the lead, and leaving before the game is over = hold.
Basically it's a save in the middle of the game. Or a save is really a hold at the end of the game.
They should do away with saves and just have holds.
EDIT: from MLB.com http://mlb.mlb.com/NASApp/mlb/mlb/official_info/about_mlb/rules_regulations.jsp
The hold is not an official statistic, but it was created as a way to credit middle relief pitchers for a job well done. Starting pitchers get wins, and closers -- the relief pitchers who come in at the end of the game -- get saves, but the guys who pitch in between the two rarely get either statistic. So what's the most important thing one of these middle relievers can do? "Hold" a lead. If a reliever comes into a game to protect a lead, gets at least one out and leaves without giving up that lead, he gets a hold. But you can't get a save and a hold at the same time.