On our fireplace the knob you turn to control the hi/lo speed, the pilot light goes off when you let go of the knob, what might be the problem?

Do you mean hi/low speed of a fan or hi/low falme size? If you are talking about the flame size this could be a failed thermocouple which is cheap and easy to replace. How to Change a Thermocouple on a Fireplace | eHow.com

You may need to replace the thermocouple. Here is a video:
http://videos.howstuffworks.com/discovery/34524-gimme-shelter-replacing-a-thermocouple-video.htm