I am confused at the moment, my son died, he was only three days old. I always prayed for my son and when he was alive I always prayed that he will stay alive. This did not happen. Why do we have to go through this?
Losing a baby is very hard and you will feel very confused for quite some time. Not only do you have the grief process to go through, but your body is still going through a lot of hormone changes as well.
As strange as it may seem to you right now, God's Word and your faith in Him can help you to find peace. My own baby daughter was premature and despite the incredible care modern medical can provide died when she was seven days old. Just like you I was asking 'WHY?' There were were two things that helped me a lot, and I hope they will help you too.
The first was an email from a relative who'd worked alongside babies and children with the same problem as my baby. She told me that despite the amazing things that can be done for them, she had witnessed many babies / children and their families who had continued to suffer dreadfully, so she had prayed that God would do what was best for all of us in the long run.
This really struck me! God LOVES me so much, that he doesn't want me, my family or my baby to go through the agony we would if she lived. It made me cling onto the verse in Romans 8:28 "And we know that in all things God works for the good of those who love him, who have been called according to his purpose."
The second thing that I found helpful was an article I read about a study on Malachi 3:3 "He (God) will sit as a refiner and purifier of silver; ..." While the verse is specifically talking about the Levites, we can also apply it to us today. It's not obvious at first what is meant by this verse. The article went on to tell about a visit to a silversmith to discover the process of purifying silver. The silver must be placed in the hottest part of the fire to heat it to the correct temperature and the refiner must watch it every second so it doesn't remain too long and ruin. The silversmith knows the silver is refined when he can see his face in it.
Think about God as the silversmith and us as the silver. For our characters to be refined so that we can truly reflect him, we have to undergo some fiery trials. The big comfort is that God is watching over us all the time and will not give us more that we can cope with (1 Corinthians 10:13), no matter how hard it seems at the time.