I have a Ruud furnace and the problem is that the pilot does not want to stay on when the furnace comes on. Before today I would lite the pilot and it would remain lit,but now I can't get the pilot to stay on to ignite the furnace. I tried liting the pilot several times but with no success. Please help, it's getting colder... BRRRR...

Sounds like you need to replace the thermo coupling.

What is a thermo coupling and please show me a picture of a thermal coupling?

Look at this: Ace 18in Universal Thermocouple - Water Heater Parts & Accessories - Ace Hardware
You can get a universal thermocouple kit from Ace Hardware, Home Depot, Lowe's, or almost any other hardware store. The thing to remember is to clean everything very well including the gas jet. You will have to remove the entire assembly (Cut off gas supply first.). The best and only good way to do this is to take the pipe loose at the coupling before it goes into the gas valve and slide entire assembly out of the furnace. Then you can get into the chamber and vacuum out all the dirt and flaked off rust and clean up the assembly. You will remove the old thermocouple and put in the new one, but make sure you measure the old one and put it back with the same length of thermocouple exposed above the clamp holding it on the assembly. Keep in mind that you may still have to adjust it so that only 3/8" of tip is in the flame, no more or less, or it will not work correctly. You may also have to adjust the flame.