If the cut end of the tree stem is exposed to air for too long, a resin layer will form protecting the stem from air, but also preventing water uptake. Some web sites state that this resin layer forms if the tree is out of water for 4 hours or longer. So when setting up the tree, cut off at least a one inch of trunk and immediately immerse in fresh water. Monitor the uptake of the water and continue to add until water uptake stops. If the tree has not dried out too much, this should help the needles stay on the tree.
For more information on Christmas tree selection and care, read Selecting and Caring For Your Cut Christmas Tree.
