Furnaces are very touchy to the amount of gas pressure it is receiving. Do your other gas appliances work? If yes, you might check the connections from the gas bottle to the extend a stay and make sure no thread tape or "pipe dope" is blocking the opening a little which could cause a partial clog and decrease the pressure enough to cause a problem with the furnace.
Next thing is I would make sure you turn the 30 lb tank on very slowly, turning it on fast with a 5' or longer hose between it and the regulator may cause the OPD valve inside the tank to think there is a leak and shut off the flow.
Pretty much all I can think of right now, hopefully others will chime in with some more ideas.