I have an empire dv-60-18pp that the pilot won't stay lit...why?

Replace the gas valve or thermocoupler.

Without a pilot flame sensor signal the pilot light will not stay on and the heater won't work. Try Replacing the pilot flame sensor, the pilot flame burns on to it and it connects to the valve. It looks like a wire.

Thermostat flame sensor. Do you see a little rod next to the pilot? That is what tells the main gas valve that the pilot is lit and it is safe to give gas. Easy swap, and you can usually just pick up a generic one.

Unfortunately if its wall vented the wind can hit it just right and pop off the pilot this happens on older models a lot check your vent if its too much of an aggravation you may have to relocate it

Tap pilot head to knock off any built up corrosion and rust and flame will get better and keep pilot lit

The thermocouple has went bad Here is a link that describes what a thermocouple is how to replace it and has instructional videos
http://www.ehow.com/way_5185498_thermocouple-replacement-procedures.html
I could try to describe the procedure. But the link is more detailed and the videos are really good.
Hope this helps
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If the pilot light goes out when you release the primer,then the thermocouple is bad.You can try to adjust the thermocouple,if it can be.It needs to be in the pilot flame.If the thermocouple is not in the flame,it will not stay lit.If you can not get the pilot to light at all,with the primer pushed down,then replace the regulator.To light the pilot light,you need to turn the dial to pilot.Then press the primer button down and hold it.The primer is either built into the turn knob,or it is a res button.Hold the primer down,and light the pilot,continue holding the primer down for at least 40 seconds.Then release the primer slowly,and if the pilot light starts to get weak,and try to go out,then push back down,and hold 30 seconds more.After the pilot stays lit,turn the knob to furnace or low,or whatever the directions say.

The thermocoupler is no good. It's that bulb sitting in the pilot flame. when it goes out it shuts everything doen in the main valve. It has to be kept hot by the pilot, that's how it know whether or not it is safe to open the main .

It sounds like a thermocouple has gone bad. this is a very common problem with gas powered things ie; water heaters, furnaces, hot tubs. The telltale sign is when you release the pilot light button it won't stay lit. This is a safety feature and is relatively inexpensive and easy to repair.

the pilot oriface is blocked it needs cleaning out ,