If the knob does NOT push the valve stem in far enough to start the PILOT flow, you remove the plastic knob and insert some wadded up paper or small piece of cardboard in the recess of the knob to prevent the plastic knob from going too far in when installed over the metal shaft. VERY common problem and fix. Now to the OP. You MUST get the PILOT light to light first before the main burner will come on and the PILOT light must stay lit when you release the knob in the pilot position. IF the Pilot lights and after holding the knob for at least 1 minute and the pilot has a good blue flame, and the pilot goes out when you release the knob, then either the Thermocoupler for the pilot is bad or the Gas valve itself is bad. Usually the Gas valve is bad. Doug