Cadburys Is No Longer Royal! Diddums!
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No best answer has yet been selected by arrowman57. Once a best answer has been selected, it will be shown here.
For more on marking an answer as the "Best Answer", please visit our FAQ.Usually you have to depress the gas button until the pilot lights and has been burning long enough to warm up the sensor which will then allow gas to reach the pilot and the burner. It should then be self sustaining.
From your description it sounds like the burner will light with the button depressed, this is very unusual. The selector switch should have a 'light pilot' position where you need to depress the pilot button in order to ignite the pilot. When the pilot has lit you should usually have to turn the selector switch to 'burner' position and the burner should light. If the pilot is extinguished (usually by the wind or some clown throwing beer up it) then the sensor cools and cuts off the supply to the burner. This is a safety feature.
Reading between your lines it is possible that your sensor is faulty. This actually contains a small battery which energises an electro-magnet which holds the gas valve open as long as the sensor is warm. These batteries fail. You usually have to buy the complete unit and have somebody 'professional' fit it. There are ways round it but they're 'not safe'