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][1]).

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


  [1]: https://market.android.com/details?id=com.chartcross.gpstest