You replaced the thermocouple in your furnace but the pilot light still goes out when button is released?

The pilot flame has to encompass the top half inch of the thermocouple. A dirty pilot will sometimes point the flame away and therefore not heat the thermocouple enough to hold. Take a small rubber hose about two feet long and point it at the pilot orface and blow through the hose to remove the ash on the pilot surface Now relight and try it out.