Does the system have a standing pilot light (burns all the time)? The pilot light may need to be lit according to the printed instructions on the unit. If the pilot will light but not stay lit after you turn the button loose, you may have a bad thermocouple. You should hear the gas valve make a 'click' when the thermocouple is heated enough to stay on, then turn the red button loose.
If it is a hot surface ignitor, its a completely different story.