Water heater problem, will not stay lit. please help?

The most common cause is a gas control valve. You can get it from a distributor. The manufacturer's website should have a local search. I am assuming you have an older model as you stated that it has a thermocouple. The newer models have a one piece pilot assembly. These have other things that can complicate the diagnosis, but are not relevant for a heater that has a thermocouple.

Did you clean the pilot orifice when you changed the thermocouple?'

A weak pilot will do that. When the main burner shuts off the loss of the expansion of the gas creates a strong draft for a couple seconds as it shuts off. That will blow out a weak pilot.

I have also see the main burner tipped so it encompasses the pilot as the main is burning. So the pilot will be out while the main is on, but the main produces enough heat to keep the thermocouple going until the main shuts off. Then the pilot will be out.

Good Luck.

Make sure thermocouple tip is completely in pilot flame. Check draft diverter installed on vent pipe. Watch the complete cycle, when main burners go out does the pilot go out also? Are the burners corroded and not igniting around the pilot assembly there by blowing the pilot out?

Check the gas valve to the pilot light. It may be corroded or leaking so the flame is not robust enough to stay lit.

Call your local Gas Company - they will come out and look at it and usually repair it at no charge