I'm assuming it only does that when you turn it on?
First, turn off the water, next remove the garden hose. Do you know where your water shut off is?
Remove the plastic nut with a wrench while holding the valve with another wrench.
Lefty loosie (and righty tighty)
Take the valve to a hardware store, you'll need to match the threads on the big nut you unscrewed, it will still be on the gray pipe.
What you want is called a hose bib. It's for attaching a hose to. You want one with ears or holes that you can use to attach it to something solid: maybe drive a post or stake solidly into the ground and attach it to that? If it's not well secured it will wear out the connection. You can see how it's putting the squeeze on the gray pipe by hanging there with the garden hose attached.
Use the threaded part that's still in the valve as a reference for what you need at the hardware store.