Ditto what PP's have said...
Progesterone (prescription strength) will only help prevent miscarriage if you have a low progesterone problem. It will absolutely not prevent impending miscarriage due to any other reason. Unfortunately, most miscarriages are not preventable.
For me, as others have also said, my Dr. simply prescribes the progesterone for the first 13 weeks as a preventative measure, to ensure that he did everything possible to ensure pregnancy success. He also said there is no proof that progesterone actually helps unless you actually have low progesterone, but he refused to take any chances.
Also, keep in mind that progesterone (sometimes even creams) used during the tww can simply delay your AF, causing false hope, extra symptoms, and timing issues... something to consider.