Did you hold the button down for around one minute after lighting the pilot before releasing it?

Also, did the light go out on its own or was it shut off on purpose?

What he said^^^^^^^,you must continue holding the button down for time stated next to button. If it still gos out,make sure the flame is touching tip of thermocouple. Thermocouple is a wire 3 times diamiter of a round tooth pick leading from near the button to piolet liight. If flame is touching,thermocouple has likly burnt out. Very common. It is inexpensive,available at most hardware stores and can be replaced by average home handyman.

Thanks guys. It was the thermocouple! Like you said, as far as repairs go, it was simple. Appreciate the feedback. Ed