I have a rheem residential gas water heater. No hot water, went to check the pilot light , it's out. Adjusted temp dial to lowest temp setting, placed the Gas Cock Knob to "Pilot", pushed down the "Red Button, and lit the pilot light. When I released the "Red Button", Pilot went out. Tried it numerous time but the pilot light will not remain lit. Any suggestion.

I think the problem is the thermocouple -- senses pilot heat -- supplies gas to pilot

Plumbing Repair Guide: How To Replace the Thermocouple - ACME HOW TO.com (http://www.acmehowto.com/howto/homemaintenance/plumbing/appliances/waterheater/replace-thermocouple.php)

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