What is the problem when the gas pilot light goes out when the knob is turned to on?

There are two possible causes for this: 1. The pilot light is dirty. You can tell if the flame is a yellow color. If this is the case, it will need to be removed and cleaned. 2. The thermocouple is weak. This is the rod that the flame burns on. It is a safety device to show a pilot flame is on before main gas is allowed to the burners.