I'm pretty sure that you don't have a pilot light. You have an ignitor where the gas comes out. But, you also appear to have an electric heating element. So, the first step is to ensure that you have water in the tank and purge the air out. Then, turn on the heating elements at the control panel.
You could have valves closed that are stopping the water from flowing properly. You will have to check that they are all open. Usually the handles will have to be in line with the water lines to be open.