Here is a list of possible causes of your problem:
1. The thermocouple lead you fitted is possibly faulty – it should test to produce at least 20mv when heated.
2. The thermocouple is not in the pilot flame sufficiently to allow it to generate sufficient current to hold open the magnetic valve in the gas valve.
3. The magnetic valve itself may be faulty in which case it has to be removed for testing – a job only suitably done by a licenced gasfitter.
4. The thermocouple may have been overtightened into the receiver of the magnetic valve crushing the two ends together – they must remain seperated to allow the current to flow to the coil.
5. Some water heaters have thermocouples connected to the pilot holders by use of a small spring arrangement under the bottom connection – to release them just squeeze and pull downwards – others are far more complicated – there is no average kind.
Hope this helps and REMEMBER always get a licenced gasfitter to do the work as gas leaks can and do kill!!!!!
Selgas Services Ltd
Craftsman Gasfitters, Plumbers, Electrical Service Technicians