I have heard that the Queen's gambit is not really a gambit, because black cannot hold on to the pawn.

I have been playing this opening for a few weeks, and black seems to have no 

trouble taking the pawn, and holding on to it.

What am I missing?

You should show one of your games. Here is a sample:

 

 

Huh! That's rather clever! It seems I've been playing it all wrong!

 

3. e3!

Never thought of that before. (I have played 3. e4 however)

3. e4 and 3. Nc3 are also reasonable ways to play the queen's gambit. I am not as familiar with them as I am the 3. e3 lines. Unfortunately, the original poster did not give us any info as to how he has been playing it.

 

Note that there are lines where black retains an extra pawn, but 1) white doesn't have to allow these and 2) white has compensation in the form of more control over central squares and better development.

This is one trap that inexperienced players can fall into from Queen's Gambit Accepted.

If you are just beginning in the queens gambit, than the easist way to re-capture the pawn is with the queen. Its not the strongest line but it is playable if you look up a few games and then give it a try.

The trap Loomis showed is the most elementary in the QGA, but it is not why some refer to the Queen's gambit as not being a true gambit. The Queen's gambit is not a true gambit because white can force black to give up the pawn immediately. The white Queen can fork the pawn and the black King on the third move, as KingLeopold showed. If white passes up the chance to perform this fork, it becomes a true gambit, although still a very safe gambit.

 I had this happen once, after playing Qa4+ and I was unhappy

WEdgards, you have to change your plans based on what your opponent does. After 3. ... Nc6, you can play 4. e3 and black has no way to defend the pawn that is now attacked twice.

I LOOOOOOVe the Queen's Gambit, thanks for all the different demonstrations...it's very good!!

WEdgards wrote:  I had this happen once, after playing Qa4+ and I was unhappy

---

 It's actually a pretty ordinary reponse to Qa4+. Better had been e3 I think.

 I have a book myself called "How to beat 1. d4", it's defenently a recommended read for people who likes Queens Gambit. I play QGA(D) myself.