If you furnace has a pilot light, it will look very much like this. Two tubes leading from a regulator up to a point near the main burners. One carries the gas up to the pilot,and the other is the "thermocouple". The job of the thermocouple is to turn the gas off to the pilot burner if the flame goes out. This works by, if the flame goes out, it cools off and causes a valve in the regulator to close. To light it, you have to put a flame to the pilot burner, and push a button, usually red, this opens the valve to the pilot light, and lets the gas through, after the pilot is going, you keep holding the button for a minute to let the "thermocouple" get hot, and keep the valve open on it own.
If you furnace is too new, it won't have a pilot light, it lights with an electric spark.
