Check your settings in Settings -> Location and security. If you have a data plan, I'd suggest enabling Use wireless networks, Use GPS satellites and Use sensor aiding for the fastest possible location fix.

Also, you could see what goes on with the GPS with GPS Test (https://market.android.com/details?id=com.chartcross.gpstest).

Does the GPS icon start blinking in the notification bar when some program attempts to use the GPS?

Check your settings in Settings -> Location and security. If you have a data plan, I'd suggest enabling Use wireless networks, Use GPS satellites and Use sensor aiding for the fastest possible location fix. If you don't want GPS to use your mobile data, deselect Use wireless networks.

Also, you could see what goes on with the GPS with GPS Test (https://market.android.com/details?id=com.chartcross.gpstest).

Does the GPS icon start blinking in the notification bar when some program attempts to use the GPS?