Clean out orifice on furnace but still I light the pilot and it stays on I turn the thermostat on to heat and (I hear a click ) the pilot light goes out any help please!!

If the pilot stays on then the safety control is good. It could be a gas pressue problem. When you turn it on and the pilot goes out do you here any gas come out of the valve to the main burner?

Make sure your gas shut off valve is fully open also.

I have seen them before that when the main gas valve opens it snuffs the pilot lite out.