When my furnace first starts a blower comes on then the flame ignites when the main blower starts the flame goes out. I have tried hooking the two wires on the thermostat together and the same thing happens

What model do you have? It sounds like a high efficiency model where the exhaust blower builds up a vacume to pull out the exhaust. When it lights and then goes out it sounds at first guess to be a flame sensor gone bad. However, it could be a whole variety of other errors. Many furnaces have error codes. Some are identified by a flashing red light or a digital display. Still guessing, I would look for a flashing little red diode and count the long and short flashes. Hopefully there is a listing of them inside the cover of your furnace that will help you decipher the error code. Unfortunately, most repair parts for furnaces are sold only by wholesale suppliers to licensed HVAC contractors. There could be other issues like improper gas pressure...

I agree with scott. Start by cleaning the flame sensor. Clean with steel wool, or sand cloth. Do not confuse the flame sensor with the igniter, as if you try to clean the igniter, you will ruin it.