The R's are currently in the Premier League relegation zone after three defeats and two draws from their opening five games.
"Both the management and players are giving everything - we just need that first league win to get that monkey off our backs," Nelsen told the club's official website.
"Nothing comes easy at this level. You've just got to keep going and keep doing the right things - as we're doing.
"The manager has a way that he wants to play that's been proven successful for many years. It just takes time."
QPR continue their league campaign on Monday when they host London rivals West Ham United at Loftus Road.