After replace the tank i light it up, it works for few minutes and then i turn to pass the WARM close to hot position. oop the burner run out and pilot light is not stay neither.
I start the pilot light again and it never stay on. As soon as i release the pilot valve the light is out. Please help.

Without knowing the type or brand of heater, my very first guess would be air in the gas line. once you can get the pilot light ignited, let it burn for about 30 seconds before releasing the pilot button. Release the button and make sure it stays lit. at that point, you should be able to turn the valve to your desired temperature and the main burner should light right up. If the gas piping is undersized, it could possibly be causing this as well, or a gas valve that is almost shut off. When the main burner tries to fire it could be burning up all the fuel, or if you don't have sufficient air into the heater it could burn up its oxygen supply.
I would recommend checking the owner's manual and contact the manufacturer if the problem doesn't resolve quickly.