A pilot light assembly is equipped with a gas valve that has on, off and pilot settings. Switch the valve to off. After three minutes, turn the valve to the pilot setting.
Strike a match, and bring it to the pilot opening while simultaneously holding down the reset button, which is located on the pilot control panel. Continue to hold this button down until a steady flame burns. Release the button, and then turn the valve back to the on setting.
If the pilot light continues to go out, there might be a clog. Switch the valve off again. Insert a fine wire into the pilot opening, and then attempt to light it again.