If you hold the button in and light the pilot light, it won't say lit? If that's the case, it's probably a bad thermocouple. The thermocouple senses heat from the pilot light and allows gas to flow to the main valve. Easy to replace, make sure the cylinder is in the flame of the pilot light.
If the pilot light won't light at all, but heating the thermocouple allows main valve to light and burn, you have a clogged pilot light orfice. You can remove it and blow it out with a can of compressed air, but don't poke anything in the opening, it can change it's shape.