Possibly 1 of three things; but difficult to say without seeing it...
If the pilot extinguish's the minute the main burner comes on; I would say you need a new pilot assembly, or at least the pilot deflector adjusted back onto the position.
If the burner fires for a couple of seconds, then it could just be your overheat thermostat is on its last legs and needs replacing, as it heats up; it breaks the connection and pops out the pilot.
If the burner ignites for a good 30 odd seconds and you get a little bit of a banging noise, I would suggest that possibly your pump has seized.
GasAid.co.uk, January 2007
