Water Heater Won't Light

My gas water heater won't light and before I start tearing into it, wanted to get some tips. Here's the info. It's a Reliance, about 5-6 years old. The pilot is out and the pilot will not remain lit when I relight it. Tried twice and gave it several minutes for the pilot flame to get hot.
The obvious thing that seems kaput would be the gizmo with the tube that gets heated by the pilot light, allowing the gas valve to open. Is there any sure way to tell that this is in fact the problem? Any tips on how to replace this? It looks like the pilot light assembly comes out, then you just replace the gizmo.
But one more issue. When this happened, I was away for a few days. I shut the cold water off to the house. Normally, I would open a faucet to give the system some expansion room. This time, I didn't. I see on the gas control valve for the water heater it says there is a non-replacebable high temperature fuse there to protect from over temp. It certainly didn;t overheat, but is it possible the pressure got too high and maybe that somehow blew the fuse? I would think this wouldn't be possible, but it is very strange that whatever went kaput, just happened at the same time the water was shut off.
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bad thermocouple, time for a replacement.
I seriously doubt any high limit issues and thermocouples are cheap, under 10 bucks.
next time you go on vacation set heater for vacation low, to save energy
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snipped-for-privacy@optonline.net wrote:

That gizmo is a thermocouple and they are cheap and easy to replace. While it is possibly something else, that is the most likely and it is cheap.

--
Joseph Meehan

Dia duit
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Thanks for the replies. It does appear to be a bad thermocouple and I have it out. I called State, who is the manufacturer of my 6 year old Reliance water heater. I expected them to tell me that with shipping/handling my warranty part would cost $10+, in which case I was just going to go buy one at the plumbing supply. Instead, they are sending one for free, priority mail and it should be here Fri. That was great warranty response.
I also unscrewed the anode, which I have never done before, to see how far gone it is. It's still 2/3 there, so I put it back and will recheck it in about 3 years.
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