If the gas valve has a thin copper wire(thermocouple) from it to the burner area and a knob with on/off/pilot positions then it has a pilot light. If not it probably is a newer furnace with a HSI (hot surface igniter) and no pilot light. Follow that wire to the pilot burner, Turn knob to pilot/hold down/light pilot with match/hold for 60 seconds and slowly release. If it goes out call a tech to replace thermocouple/clean pilot burner etc.
Last edited by yuri; 11-30-2008 at 12:22 PM.
Reason: add more info