Pilot light will not stay on after lighting

Replace thermocoupling.

If your water has a piezo ignitor to light the pilot, I would guess that the filter on the water heater is stopped up.

If this is what you have write me back and I will tell you how to clean it.

I do not see a spark in the burner window ,and can I light it any other way or can I remove the window ?

I am not sure if it is a piezo igniter or not but it is an electronic igniter.
It does say that it has a filter that needs to be cleaned so that is probably the problem. Could you please tell me where to find it and how to clean the filter.

Thank you