I have got a new puppy and he has an umbilical hernia that goes back in with ease. My question is what do I need to do, I was told that if I hold it in a couple of times it should heal itself? I have got him for show would this affect him? Or will the hernia give him any health problems?

Depends upon how big the hernia is etc.  There are still vets who feel that this is due to the mother pulling the cord to heavily and the majority feel that it is hereditary.  If it is only small you may be able for it to heal up by itself but if it's quite large then more than likely it would need an operation.

This article may clarify ro muddy the waters even more:
http://www.showdogsupersite.com/kenlclub/breedvet/umbilical.html

Our youngest had a hernia when we got him at around 11-13 weeks which has now completely gone. (he is now 7 months) at the time I worried about it and the vet told me it had to be operated on (typical!) but we left it and true to her word the breeder said it was so small and went in and out easily and it has not gone, although I can't remember at what age it disappeared. :-)