How do I make the pilot light stay on?
To turn on the pilot light of the Wall Furnace, I press and hold knob while lighting it. After holding it a few minute, I need to release it and turn it quickly to the left, so the furnace can fire up.
But, when I release it the pilot turns off without even giving me a chance to turn it to the left. So, what can I do? To make it all work.

You probably have a defective thermocouple. That is a safety device that sits next to the pilot and goes to the gas valve.