Does the pilot light stay lighted? If the pilot light stays lighted, but the furnace wont burn, and stay burning, then your diagnosis is probably correct, and you need to replace the thermo-couple. It is the silver colored tube that has an element that remains in the path of the pilot light, gets heated by the burning pilot light, and expands, which generates a millivolt electrical current that goes back to the gas valve, and allows a larger amount of gas to flow to the burner. Follow the small 1/4 inch silver tube from the pilot light to the gas valve. Turn off the gas which shuts off the pilot light. Look at the connection where the thermo-couple connects to the gas valve. See how the tube passes through a hexagon shaped threaded nut?That's what holds the thermo-couple in. Use a 9/16 inch (or half inch if its that small) wrench and turn it counter clockwise to loosen the thermocouple. REMEMBER which hole you unscrewed it out of! Mark it if you need to. There might be a spring loaded clip that holds the thermocouple against the pilot light flame too. remember how that clips on. Take the thermo-couple with you. Go to your local hardware or Home Depot to the gas section and get another thermo-couple just like it (You can get onethat's longer, but not one that's shorter). Put it in the same way the other came out. DO NOT overtighten the connecting nut, just finger tight and then a half or quarter turn more with the wrench. spring clip the pilot light connection. Turn on the gas. Light the pilot and wait a few minutes to heat the new thermo-couple. Turn on the gas at the valve and make sure the thermostat is turned up to call for heat. You should now have good burn. While you're there look at the burn flame in the firebox to make sure it burns blue and not yellow. If its yellow the burnersaren't getting enough gas or too much air. There are some sliding air choke covers to adjust the flame. If you are unsure of this, call the gas company. They'll be very helpful, and very reasonable.
: how do I install thermal couple & what else might be the case?