Not important where the thermostat is set to really. If its been off for a while it may well take a few goes to get gas through pilot tube.
If it wont light at all it may well be blocked at the pilot injector. This will need an RGI to remove and clean. Might as well get it serviced at same time.
Ensure the o/heat stat button has not 'popped out'. If it has, depress it and try again (as pablo has described). Pilot lights generally go out for a reason.
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