Gas fireplace won't start?

I have a gas fireplace (don't know the model off-hand) and I am having issues starting it. I can get the pilot lit. I turn the knob to the pilot position and push it in, light it and let it heat up for a few seconds then let go. The knob is still in the pilot position at this point (just not pushed in) and the pilot is burning. When I turn the knob to the On position though the pilot goes out. Turning the knob to the On position doesn't turn on the fireplace it just allows it to be turned on via the wall switch, which I have in the Off position. I have tried cleaning all the parts I can get to as well as changing out the Thermocouple. Any suggestions?