like Joe said.
I just want to add a couple of obvious things: there could be air in the line if it hasn't been used since the propane
tank was swapped, it might take a few seconds to purge the air out of the line before gas starts coming out of the pilot burner. (you'll smell propane
after it is purged)
The flame that you are lighting
will impinge on a thermocouple that, when heated up will act to keep the gas valve open. It'll take 20-60 seconds of pilot flame before the gas valve will stay open on its own, during that time you have to keep pushing in on the red dial. That thermocouple is a safety, if the pilot goes out the thermocouple will cool after which the gas to the pilot and main burner will stop flowing.
once the pilot is lit and stays on you can turn the red dial to "on", close the inspection port (lighting port) and adjust the thermostat to control when the main burner comes on.
We just got back from 3 weeks in Quebec NB and PEI and I think I used the furnace
a half dozen times; some nights went down to 10°C. I was very happy with how comfortable it made the trailer.