Originally Posted by: rockonn91Is this your guitar?

If that really is your guitar, the tremolo isn't a floating/locking one as described by ardvark, but the main points he raised still apply. However I'll also point out that on "regular" trems (those that only dive down) that every individual point of contact for the strings is one place to start investigating: bridge saddles, nut, string trees (if applicable), and even how you wrap around the peg.

While tuning, if you turn a peg and notice the pitch suddenly jumps (either way), it's prolly getting pinched or just snagged at one of those points. If so, even when you get it tuned, as soon as you use the trem or even do wide bends and change the tension, it may catch again at one of those points and go out of tune.
One method to help alleviate this is to lubricate these points (and possibly even those areas of the string) with graphite, a pencil for instance. Otherwise they now market nuts, saddles, and trees specifically for this issue...namely Graphtec products. Even though I don't have a trem on my SG, I still had that problem with my G string catching at the nut. Replacing it with a Graphtec cured it instantly.