Your problem is easy and frequent. The pilot light should heat up the thermouple which in return by the heat will keep the valve on for pilot light first and the burner light.
So either the pilot light is not reaching the thermocouple - this only if someone moves the pilot light
Or the thermocouple became weak and can hold the gas valve open - so replace the thermocouple with new one.
There is a very small possibility that the gas valve is faulty but you should replace the thermocouple in any case which is very cheap first and is the most possible cause.
Answers & Comments
Your problem is easy and frequent. The pilot light should heat up the thermouple which in return by the heat will keep the valve on for pilot light first and the burner light.
So either the pilot light is not reaching the thermocouple - this only if someone moves the pilot light
Or the thermocouple became weak and can hold the gas valve open - so replace the thermocouple with new one.
There is a very small possibility that the gas valve is faulty but you should replace the thermocouple in any case which is very cheap first and is the most possible cause.
This is a new unit and this is the first time its being used