All day today my heater was working, however sometime around five the pilot went out. I followed the directions on how to re-light it, however it would not stay lit. I even tried tighting the thermocouple. The pilot will go out as soon as I release the button. Is there a way to figure out what is wrong without having to buy a new heater?

More than likely the thermocouple is bad. Replace it. Not expensive. Good Luck