My son was colicky for 12 weeks. He started screaming on day #2 in his life.
I was like Kathy, a previous poster, who tried EVERYTHING. I was exclusively pumping so I altered my diet completely, we swaddled him, we put him in the swing, we held him in the colic hold, we gave him Mylicon, we had him thoroughly checked out by the doctor, you name it we did it and nothing seemed to help quell the daily screaming and crying jags. And, it's not like I tried a technique once or twice or removed food items for a day...we're talking getting rid of a food or trying a technique for 2-4 weeks!
I logged everything my baby would do in a day - sleeping, eating, screaming, what he was producing in his diaper, just tracking all sorts of relevant data to try to make sense out of this issue. I found no pattern whatsoever, which of course made me feel like a failure of a mother because my kid did nothing but scream...and we're not talking the "witching hour" in the evening...we're talking all day long. I won't have another child because, emotionally, I cannot endure this ever again.
I remember posting about this when my son was colicky and many of the mothers who had experienced the same thing said that, for whatever reason, around 12 weeks the colic seems to end like flipping off a switch. So I hoped and prayed and counted down to that 12-week mark. I should have added an extra two weeks to that estimate, because at around 14 weeks the screaming/crying just stopped. And I finally felt like I didn't suck at being a mom.
Have the baby thoroughly checked out by a pediatrician and if breastfeeding, look into kellymom or some other reputable website to determine if a dietary change might help. People will tell you that there is 'something' wrong with your baby if he or she is colicky, but as someone speaking from experience, there was nothing wrong with my baby and he just needed to outgrow it.
"The Happiest Baby on the Block" by Dr. Harvey Karp is a fantastic book to help soothe the baby. It's an easy read and only $7 in the paperback version.