My pilot light on my furnace need to be lite and not sure how to light a pilot light, I see the knob to turn that say on, off and pilot but not sure where to hold to fire and not sure if I need to hold the knob down that say pilot at the same time please help.

Turn the knob to "pilot" and just wait for 5 minutes. Locate a 1/4" aluminum tube that comes out of the gas valve and follow it down towards the burner. There should be a shrouded device at the end of that tube, also a small copper wire going into it this device 'this is the pilot'. Get an extension lighter and turn it on near the shrouded device. Now push the pilot valve down, it should light, now hold this button down for 1 minute. Release the button and the pilot should stay lit. If it doesn't you have a very dirty pilot, a bad thermocouple or gas valve. If the pilot stayed on, you are ready to light the furnace. Be sure the thermostat is "off", turn the gas valve to "on" and you are ready to turn the thermastat back to on.

Good luck

Well how do you know if you have a aluminum tube? And it gets very windy at my house, The pilot never stays lit how do I stop it from going out... Please help.

Here are pics of basic pilot system components. A dirty pilot burner and/or faulty thermocouple are the most likely culprits.