He may not be able to entertain himself yet. He may want for you to hold him a lot. Not every baby is happy to sit and watch - there are many different kinds.
It may not be until 2 or 3 that he will sit and entertain himself for any length of time. That's why he is a baby, because he's small and not able to do things for himself yet. He can't feed himself, he can't walk, and entertaining may fit into this category too - things not yet mastered It's just not something as visible as the others.
Dr. Sears baby book is a nice resource. There is a series of books called 'Your One Year Old" (and so forth) by Ames & Ilg that talk about what is normal for the age. Sometimes it helps to know that LOTS of kids are doing the same thing. Another helpful book is "The Happiest Baby on the Block" (and Toddler on the Block) by Harvey Karp. You should be able to find them at your library.
Hang in there! It's only just started. Learning how to cope and adapt to what your boy is able to do will save you tons of trouble.