Saints' start to life back in the top flight after a seven-year absence has been far from ideal, conceding 29 goals and securing just five points from 11 Premier League matches.
That poor start has seen questions raised over the future of manager Adkins, who on Saturday leads his side into an important match with fellow strugglers QPR.
Lambert is hopeful of a result in west London and joined the chorus of those backing the Southampton manager.
"I definitely want him to stay," the striker said. "He looks at me to try and lead the team as well and I am trying to obviously help him.
"I understand he is under pressure but it is not nice, it is not his fault, you know what I mean? It's all of our fault.
"It's little, little errors that are costing us at the moment but I think some of the performances this season we've deserved more points with what we've got.
"We've got the points we got, we know why we got them points but we can still believe we can turn it around.
"We know it is a big game, we know the circumstances of both teams, where we lie and how big three points will be for either side.
"We do understand that it is a big game but we're going about it like it's any other game, try to prepare like we always prepare."
Southampton come into the match after an impressive, if ultimately disappointing, performance against Swansea last weekend.
Despite dominating the play and taking the lead midway through the second half, a defensive mishap once again cost Adkins' side as they were held to a 1-1 draw.
"It was very disappointing," Lambert said. "I think the performance was brilliant.
"I think the performances this season have been good. It is just little mistakes that are costing us and again it cost us on Saturday.
"But we're confident that we can forget about the mistake and get on and obviously try and get three points on Saturday.
"It is fru strating but we've got to keep on going. That's what the gaffer has done this season. Put it to bed and remain optimistic about the next game."
Not only is Lambert looking for victory at Loftus Road but a goal after an unusually barren period.
The 30-year-old started the season in blistering form, netting four goals in his first five matches as a Premier League player.
Since then, though, Lambert has failed to net in six matches and is becoming increasingly frustrated by that statistic.
"I am not happy when I am not scoring in any game," he said.
"Having a run of six games is frustrating so I'll be definitely trying to get on the scoresheet on Saturday."
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