Why do I frequently have a problem holding my urine. It happens when I laugh, cough or sneeze.?

Stress incontinence. Stress incontinence is a very common problem. It occurs more frequently after a vaginal birth and as you age. It can be treated with kegel exercises, physical therapy and sometimes mild surgery. If it effects your life then see your obgyn for an evaluation.
Stress incontinence. The condition you describe is known as stress incontinence. If you search for it online, perhaps webmd, you should find some information about it, including how to get started with kegel exercises.