A thermocouple is a metal finger, about 2" long which has a tube on one end. That tube connects to the oven control. The tube looks like a pipe or wire the diameter of a pencil lead. The finger is positioned so it is in the pilot flame (in the case of the oven, the larger, second flame). It generates a tiny amount of electricity which operates the gas valve in the control. No heat, no electricity, and thus no gas can flow to the main burner. So, if the second pilot light goes out, the burner will not light. If the thermocouple is defective, the burner will not light. If the thermocouple is not in the flame properly, to get hot enough, the burner will not light. The connection on the valve end looks like a small pipe connection, and is removed with a wrench. Don't overtighten the new one, just snug.
They are a very common item, RV stores have them, most decent sized hardware stores have them, most of them are interchangeable. They do come in different lengths, but even a too long one can be carefully coiled up. They are generally under $10.