I have a gas central heat and air unit in my house. When we turn on the heater to warm up the house, the pilot lights and he fan comes on just like it's suppose to. But after a few seconds the pilot goes out and the fan stays on so the house is not getting warm at all. Any suggestions?

I suspect the flame sensor is not sensing the flame & shutting the burner down. Are there any diagnostic lights on the gas valve or control board?