Have you halter trained it yet? There are specific steps that are all separate to achieve the desired goal: a horse that can be tied.
Halter training is first. This is as early as day two or three. Make very certain the halter adjusts or have several sizes on hand because the foal grows so rapidly at this early age you never want the halter to become tight. Next is the lead line lesson. It should be left on during the day under supervision while the foal gets used to it dragging on the ground, being stepped on and such. Then, after a few weeks the tying lesson. Make sure you tie the rope high enough that the foal cannot get a good pull on it. A foot above their head is wise. The earlier you start teaching this basic lesson the better.