pilot light doesn't work-Modine PD30 Gas Heater

Modine PD30 Gas Heater with a thermostat in the garage. I can hear the gas flowing when I move the lever to set, but when I turn up the thermostat it only blows out cold air. WHY won't the pilot light come on, I follow the instructions?

The wiring diagram can be downloaded at modine.com Start with that and see if you can get some ideas of what to check.