It's a bit like lighting a water heater pilot. You turn the knob to Pilot, hold the knob pressed in to start gas flowing, and hold a flame to the pilot for long enough that the thermocouple next to the pilot heats up and allows the gas flow to the pilot to continue after releasing the knob.
If you finish cooking and turn the knob back to Pilot, the light should stay on. If you turn the knob to Off, you'll have to repeat the lighting procedure next time you want to cook.
A long-handled butane lighter will help.