If the pilot lights and the burner lights, but the flames are blue, lift off the burner and then go out, that is called "ghosting."
It usually means the chimney (flue) is still cold, so there is no natural draft yet. Gas fireplaces need warm exhaust rising up the flue and cooler outside air coming down into the firebox to burn properly.
The fix: leave the pilot on during the heating season. If you keep it off, turn it on and wait about half an hour for the flue to warm up before turning on the burner. See Pilot Light: Should I Leave It On? for more.
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