You probably need to hold a light (meaning, fire on a match stick) to the pilot tip to help it heat up. Usually, cold pilot tips don’t stay lit. Also, check for cross draft around your heater that may be blowing out the light. Additionally, If you’ve followed all the directions, step-by-step, on lighting the pilot and it still does not light after, or will not stay lit, then you probably have a problem with the thermocouple or an adjustment needs to be made to the pilot.