If it is a true "pilot" light, it needs to be held down long enough to generate the milivolts needed to prove to the gas valve that he is ready to open, other wise the gas valve would open, not igniting, thus causing a "gas leak". Turn the t-stat OFF, turn gas valve to pilot, push down on pilot knob, light pilot and hold for 2 minutes. After 2 mins let go, and if pilot stays lit, turn gas valve to ON, and turn the stat to heat and turn it up to desired temp. If pilot does not stay lit after doing above, try sanding thermo couple( the thing the flame is sitting in) or just spend the $15 bucks and replace therm couple.
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