This can be a bit complicated and so we suggest you hire an electrician to do this work. Make sure you are holding down the pilot light button firmly.
If, while holding down the pilot light button, the pilot light will not start then the issue could be gas is not getting to the furnace. One cause could be an air bubble in the gas line. If you hold down the pilot light long enough this should solve the issue. If the problem persists you may damaged supply line and you will definitely want to work with a furnace technician to solve this. If propane is your source fuel, make sure this tank is not empty, or if you think there is an issue with the propane call propane supplier for advice