Theres a little art to this technique and losing knuckle hair is almost guaranteed at least once during this process. After you've become proficient, you'll be able to light your stove with little trouble. Here's how it goes:
1. Close the burner valve
2. Open the valve on the propane tank
3. Light a match or lighter about an inch away from the burner
4. Slowly crack open the burner valve
5. If the burner doesnt light, close the valve and wait a minute or two before trying again
Mostly you want to avoid excessive buildup of propane. Thats why you want to have the match lit before you turn on the stove - to avoid an explosion of gasses. If it doesnt work, just turn off the burner and let it air out for a minute before trying again.
Note:Always read and follow the manufacturer's directions specifically.