It's probably shutting down because it's not lighting. When you turn it on, the fan will come on. Shortly after you should hear audible clicks about 2 per second, then they'll stop. If it didn't light it will try it 2 more times. If it senses no fire in the burner, it shuts down everything.
Like above stated, make sure you have plenty of propane and purge out the air by running the stove and/or water heater. After trying it again and you still have issues, try it while the stove is lit on high. Watch the flame on the stove and see if it just about goes out or turns yellow. This is how I found out I had a faulty pressure regulator at the propane tank.
*Current: 2005 Ford F350 Crew Cab Dually 6.0 diesel 4x4*
*Retired: 1987 F350 Crew Cab Dually 6.9 turbo diesel
2007 Forest River WildCat 32QBBS