Our pilot light will not stay lit. we changed the thermal cupple, cleaned and adjusted the light. Nothing seems to work

Explain what happens just as you light the pilot.
Also what kind of furnace is it.

Here are some clues... If when you light the pilot and hold down the button for the required 30 to 40 seconds and just as soon as you release the button the pilot goes out, here are a few things it could be.
1. The flame is not hitting the thermocouple.
2. The magnetic celinoid may be bad.

If it lights and stays for a while it could be that the wind is blowing out the pilot when the flame goes out. The same thing can happen sometimes when the flame is lighting.

You have to be careful when you replace a thermocouple. Too tight and you can cause damage and it will not work. Too loose and you won't make good contact and it will not work. Also it is remarkably easy to put these things in cross-threaded.