A transaction is confirmed once it is transitively approved from a milestone transaction. (At the moment, milestone transactions are chosen by the coordinator, but in the future the MCMC algorithm will be used to choose them on every node).
Therefore, if your transaction is merely approved by another transaction, you have won nothing. To get your transaction confirmed, that other transaction needs to be approved by another transaction until eventually the resulting transaction is picked as a milestone.
So, if you just send another transaction to approve your new transaction, the problem stays the same (there is still a tip that has to be chosen by others to ultimately get your transaction confirmed). Only that you have spent PoW one more time than you would have to.
On the other hand, if you have to perform another transaction right now (with different addresses so that they can be processed both at the same time), and your first transaction is not yet confirmed, it might be wise to pick your first transaction as one of the tips to confirm by your second one. Then you only need one tip to be picked and not two. [The current wallet does not allow you to do things like that, though.]