My expy won't stay on?

[durps]

I have a 4.6L 2000 4x4 expy that sometimes won't stay on.
Sometimes I turn the key and bam! Starts like nothing. Then I get these times where it starts, then turns off by itself. But, if I keep my foot on the accelerator, it'll stay on. Problem is that as soon as I take my foot off the car turns off again. What can I do to fix this?
it mainly started happening in the winter, but it happens when it's warm out as well, just not as much.

 

[ELVATO]

Could possibly be your fuel filter or you idle air control not letting it idle. When's the last time you changed your fuel filter?