When I move the switch to heat and ajust the temp. the flame does not come and the pilot goes out.

I have seen a few furnaces act this way before. In my case the screen on the gas inlet side of the gas valve had caught a lot of trash restricting the flow of gas. When you call for heat the gas valve opens up taking what little pressure you did have away from the pilot and making it go out. Make sure all gas shut offs are open all the way that feed the furnace.

When I move the switch to heat and ajust the temp. the flame does not come and the pilot goes out.

Are you using a central forced air furnace or a wall furnace. In talking about a wall furnace they can have a electric system that is produced by a pilot generator, which creates about 750 milivolts, this power can hold the gas valve safety on and it will also open the gas valve when it is called for. But sometimes the generator gets weak or the flame from the pilot is not high enough to create enough power, it could be down to around 200 millivolts which is not enough to hold the pilot open and open the valve at the same time therefore the pilot closes and shuts off the gas. You might try cleaning the pilot to get a better flame and you can also tighten all electric connections to make sure they are tight.

I have seen this before.. for the same reason t-top said except it was a pressure problem by the meter and the regulator.. try letmetellu advice and if it doesn't work call your gas company the service tech will be able to give you pressure readings and rule out this as a problem.. also some techs carry thermopilot millivolt testers. In my area the gas company will do this and if they are unable to fix it refer you to a contractor but at least you will know what is going on before spending a lot of money..