First of all, you should be able to locate pilot lighting instructions attached to the fireplace. With a standing pilot, once you've successfully ignited the pilot, you must continue to hold the knob in for 15-60 seconds before letting go. If you've held it for 60 seconds and it still drops out, shut it down and call for professional service. If you get the model and serial #, you can locate the nearest Lennox Hearth dealer for service.
HTH,