When trying to heat, the pilot is not igniting. It runs outside but blows cold air out of the vent. Not getting anything out of the vents inside. AC works fine. Could this be something simple that I could fix myself? Anything I could do to diagnose the problem?

If the oilot is not lighting then it is something in the ignition system at fault. If you do not know about electric and have a meter and know how to trace circuits you will have to call for ON Site service.