My water heater is about 2 years old and the pilot lights keep turning off :mad:

You may need to replace your thermocouple or at least check to insure the tip of the couple is in the pilot flame. Thermocouple are inexpensive and not difficult to install. Be sure the draft doors are properly reinstalled to cover the access opening completely.

How do you light your pilot on the water heater? Do you use a flame or do you use electric piezo clicker to light it. If you use a match then the advice that ballengerb1 gave you should work for you, if you have the clicker then you have other problems.
What brand of water heater do you have, this makes a difference if you have the clicker for lighting.