What wont my hair stay "teased"?

No matter how much a tease or spray my hair it wont stay up. It never fails, a few minutes later it always falls down and looks stupid...

What can I do to ensure it will stay up? I use TREsemme hair spray, so what products would be best?

Update: I have really thick hair, and I've never really teased it before...so could it not be used to it or something?
Update 2: Wow! Thanks for all your answers everyone...! They are all so helpful, I'm not quite sure which one to choose for the best...
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