My pilot flame do not stay?

Did you follow the instructions on how to light it?

If so the thermocouple may be bad. Try to relight.

Guide to all types of hot water heater selection, inspection, diagnosis, & repair for home owners, home buyers, home inspectors (http://inspect-ny.com/plumbing/Gas_Hot_Water.htm#GasValve)

http://www.youtube.com/watch?v=Wky7lb9ochI&feature=related

http://www.youtube.com/watch?v=xGQngzqrIEE&feature=related