What happens next?

How to light a water heater
Check the pilot light.
You will probably need to remove a small panel, called an access panel, at the bottom of the tank in order to see whether the pilot light is actually out. If you do not see a small flame burning, then your pilot light has gone out.
If you have a newer water heater, it is possible that your panel is not removable and that you view your pilot light through glass. In this case, if you cannot see a flame burning through the glass, then your pilot light is out.