Originally Posted by Monster Pete

It sounds like the friction of the shift lever is set too low. There is a spring in the derailleur that is used to return the derailleur to the smallest sprocket (high gear). The shifter is designed to have a certain amount of friction in its rotation to stop that happening. There should be an adjustment screw in the middle of the shifter pivot. Set this tight enough to hold the derailleur without slipping in all gears, but no tighter.