Gas fireplaces are designed to look like real wood is burning. A stack of ceramic logs covers a series of gas jets, and, when the gas comes on, the pilot light ignites the gas to produce flames that encircle the logs to create warmth and atmosphere. If the pilot light isn't working, though, nothing will happen when you turn the unit on. Several possible reasons exist as to why a pilot light won't stay lit.
A draft might be the reason your pilot light keeps going out. The draft can come from under a doorway, through a window or even from under the floor. An easy way to check for drafts is to place a burning candle at the approximate location of the pilot. Watch the flame, and it will alert you to a blowing wind by bending with the wind's direction. Using this method, you can find the source of the draft and find steps to correct it. If nothing else is wrong, an erect candle flame should be the sign that the pilot will stay lit.
Clogged Gas Line
The gas line feeding the pilot has a very small diameter, and it is easy for small particles to lodge there and prevent gas from flowing. You can clean the pilot tube with a length of thin wire once you have removed it. If it is accessible, you can remove it by loosening the nuts on either end with an adjustable wrench. If you can't get to it, you may have to remove the entire burner assembly to remove the pilot tube. A method for this process is most likely outlined in the owner's manual for the fireplace.
The thermocouple is a device that senses heat and creates a small electric current that tells the gas valve to stay open. If it is working properly, the valve will stay open after the pilot has been on for half a minute or so. Thermocouples eventually wear out and need to be replaced. The thermocouple on your fireplace is located right next to the pilot light. Your owner's manual will contain information on how to remove it. To access it, you'll probably have to remove the entire burner assembly. Replacements are inexpensive.
Faulty Gas Valve
The gas valve is wired to the thermocouple, and, if the thermocouple is functioning but the pilot won't stay lit, there may be a faulty connection in the valve or the valve itself may be defective. Try holding a flame next to the thermocouple for about a minute before turning the unit on. If the burners don't ignite, the valve may need servicing or you may have to replace it. In this case, turn the gas off and have the unit serviced by a professional who knows the correct procedure to safely remove it.