Will it not stay in tune, or when you tune it, it sounds off? Big difference. Are you tuning by ear, or with a tuner. Is it a high end or low end classical guitar?
Off the top of my head, a couple things about classical guitars:
Nylon strings take much longer to break in and be stable in tuning than metal strings. A good set of D'addario classical strings takes me about a week to break in and be stable in tuning for the ones that are nylon. Once broken in, they usually stay in tune for me very well for many months (or until one breaks).
Low end classical guitars (ones you get at Wal-Mart, Target, or from Estaban) need a few things for them to even be near-tunable.
1: Evenly tighten the screws on the tuning gears (screw in middle of brass gear) to a uniform tightness, just about 1/8 turn past finger tight. If they are tighter than that already, loosen and then re-tighten them. If you can see the gear slip backwards after you tune, it needs to be tighter.
2: Lubricate the bridge and nut: Easier than it sounds; Just take a very sharp #2 pencil and draw in the grooves on the nut and bridge saddle whenever you change strings.
3: When installing classical srings, always try get at least three winds around the peg, this will help prevent slippage of the string on the peg. When installing strings, after tying to the bridge, pull the string up to it's tuning peg, add at least three inches of string past the peg and start winding from the end of that three inches. Don't cut the string until it's fully installed (you may want to get a peg winder).
4: Always tune up; This is beginners advice, but it always is worth mentioning. If the string is sharp even a little, always loosen it till the string is flat and then tune up to the note.
As always, there is a wealth of info online. Just Google it if you want more help.