for gps like
goathahalol said.. you gotta turn it on in the phone settings there.. but search for quickgps (think htc makes it??) you should find a link to download it (and a fixed exe if you have trouble downloading the info) ... that app will go out on the internet and download some information that should make aquiring a lock faster. i think it gets the current locations of the satellites to faster pinpoint where they are or something. not sure how it works. i have noticed it locks a little faster though.
two times i got gps up and going, i waited anywhere from 10-20 min to get a lock... so nothing that quick. of course i'm also in nyc with tall buildings.