Many modern gas heaters have electronic spark mechanisms to light the pilot light, but on older ones, you have to do this by hand. The hardest part of this job is finding where you have to apply the flame. But if you follow the pilot tube from the gas supply, you should be able to locate the opening buried inside the heater behind a metal plate. You will need a long match or long-barreled lighter to light it and once it is lit, it should stay that way until you turn it off.
Open the door of the heater to expose the burner. For some heaters, you may have to completely remove the cover to have access to the burner.
Locate tube that supplies the pilot light. This is a 1/4 inch metal tube that originates near the main valve and extends upward. You may need a flashlight to locate the orifice, which is usually situated behind a metal plate with an inspection hole in it.
Turn the control valve on the heater until the marker that says "pilot" is lined up with the marker on the outside casing.
Press down the red button next to the control valve and keep pressing while you hold a lighted match or lighter next to the pilot orifice. When the pilot lights, remove the flame but keep pressing the button.
Hold the button for about 30 seconds to give the thermocouple a chance to heat up, then release the button and check to see if the pilot is still lit. If it isn't, press the button, light it again and hold the button a little longer than before.
Turn the control valve from the "pilot" to the "on" position and replace the heater cover, or close the door.