Check you are getting a spark when you press the igniter button. You should hear an electrical sparking followed by a small detonation sound as the pilot ignites. If this is not happening check that the white ceramic element is not too far in or out. It needed to be able to arc a spark to light the pilot.
If this is ok and the pilot goes out once you have released the grey 'Start' button on the valve then the problem may be with your Thermocouple.
I FIxed this problem on my Vulcan by replacing it with a universal Thermocouple. Costs around £5 to get this from Plumb Centre.
However you would need to unscrew the boiler faceplate (and gas pipe)to get this fitted so would recommend using a registered plumber.
Voggie
February 2007