Typically there is a control that would be labeled "OFF, ON PILOT".
Or maybe "OFF, LOW, MEDIUM, HIGH, PILOT".
Assuming there is no piezo (sp) or automatic ignition:
You would turn the control to the pilot position where the control would then depress and provide gas flow to the pilot tube. (This is the only position that will allow the control knob to depress) At that point the pilot can be lit with a match. You would continue holding the knob down for about thirty seconds until enough heat is generated to tell the pilot to remain on. This is when the control can be moved to one of the other operating positions.
I'm sure they aren't all made this way but typically/historically they have been.