Thermocouple keeps the pilot lit. Thermopile keeps the burner lit. Please specify what won't stay lit... If it's the burner, you may need to change the thermopile as well. If the pilot still won't stay lit, you will want to make sure that the pilot flame is large enough to completely engulf the thermocouple and keep it hot. If it's too small, you may need to take some compressed air and blow out the pilot hood to remove any blockage.
Answers & Comments
Thermocouple keeps the pilot lit.
Thermopile keeps the burner lit.
Please specify what won't stay lit...
If it's the burner, you may need to change the thermopile as well.
If the pilot still won't stay lit, you will want to make sure that the pilot flame is large enough to completely engulf the thermocouple and keep it hot. If it's too small, you may need to take some compressed air and blow out the pilot hood to remove any blockage.