There is no objection in holding a baby shower as long as it is not done as a religious ritual. In other words, it is ok to do so as a custom, provided, of course, it is totally free of any un-Islamic practices.

There is a basic difference in Islam between institutions of worship on the one hand and the customs and conventions on the other. While Islam holds a stricter view on rituals of worship, and considers introducing any such rituals-- unless sanctioned by revelation-- as a clear innovation to be shunned, there is no taboo against customs as such. In other words, humans are free to introduce customs as long as there are benefits in them as long as they do not violate any of the stated principles of the shari’ah. So there is no harm in holding a baby shower as long as we stay clear of forbidden things. Wastage of food and resources, lewd music, dancing involving mingling and mixing of genders, etc. are all clearly forbidden in Islam. May Allah make us all self-sufficient with things He has permitted for us so that we have no inclination towards the things that He has forbidden for us-aameen.