The 'valve' would in fact be a thing called a Thermocouple. This looks like a copper pipe with an odd bulbous end which pokes into, or near, the flame. You'll either need to replace it (and I have no idea where to get one from as I am currently looking myself. Help anyone?) or you have a problem with low gas pressure. Possibly a faulty regulator. It *will* be either one of those two problems..
dave reeves, August 2008