Some things you can do your self are, replacing the thermocouple and re lighting the pilot light.
And you can also
click the reset able limit switch on the top of the unit heater. Things like replacing the gas valve should be done by a professional.
The venting of the unit should be done by a professional. Messing with these things with out the proper expertise, can cost you your life.
This is the gas valve, on this unit it is a 24 volt standing pilot gas valve.