The flame come on for a couple of second and than shut off... don't know why... anybody know why?

Are you referring to the pilot light not staying lit? If so read the instructions and follow them to the "T" and see what happens. Use extreme caution working with gas appliances. The best policy is if your not sure, call out a service person.

Is this a newer furnace or older? Does it have a standing pilot or automatic ignition?