The tip of the flame from the pilot light has to touch the thermocouple and glow red in order to hold open the pilot valve on the combination valve. You will then be able to let go of the red button. Then as the thermocouple gets even hotter, it will open the gas valve on the combination valve and allow you to turn on burner.
Follow the thermocouple, (the copper tube going from the pilot light to the valve with the red button), and check that the nut on the thermocouple is tight, where it attaches to the combination valve but not too tight, as you will pinch off the tube.
You can adjust the flame on the pilot light, so that it is not only touching the thermocouple, but also the burner. There is a flat head screw, rather large, and under this is a small flat head screw that you can turn to adjust the size of the pilot flame. I know this is allot, and if you have any questions, feel free to e-mail me.
Gas appliance repair for 20 years.