If you have no hot water from your hot water tank, the first thing to check would be your thermocouple.
In some hot water tanks it is possible to pull out the old thermocouple without removing the whole burner assembly. In this case, just unscrew the old thermocouple from the gas control, and pull the thermocouple out of the bracket that holds it in the burner. Push the new thermocouple into the burner bracket and then screw the other end into the gas control. Snug up the nut into the gas control gently with an adjustable wrench. The nut and threads are soft metal.
If it is difficult to get to the thermocouple, removing the burner will make the job very easy and it will allow you to clean the burner, making it more efficient.
When you turn on the gas and test the flame, make sure the tip of the thermocouple is in the flame of the pilot.
Turn off the gas valve to the hot water tank before you begin.