The Earth is held together by gravity as it spins, and so is the Milky Way galaxy which, however, spins at different speeds depending on how far from the center you are. The Milky Way is not a solid object, just as the solar system is not a solid object .The solar system 'spins' once every 88 days at the orbit of Mercury, and once every 260 years at the orbit of Pluto. It is 'held together' by gravity, but not as cohesively as a solid planet.