Before you start fiddling with the pilot light, make sure you've turned off the gas supply - you don't want any accidental explosions happening on your watch. It's also a good idea to read the manual (yeah, I know, it's not exactly thrilling reading material) to get familiar with the specific instructions for your particular fireplace. Better safe than sorry, right?
Now, locate the pilot light - it's usually a small metal tube with a tiny flame at the end. You might need to get down on your hands and knees to find it, but don't worry, it's like a fun little treasure hunt. Just be careful not to bump your head on the fireplace surround.