Everything Steve said is right.
For this step though: "Make sure your location setting is checked "on" in Start<Settings<Personal Tab<Phone<Services<Location Setting."
First Turn it off, close that screen, then go back in and turn it on, just to make sure.
Then use this program, GPS Tool (attached). I believe it has a satellite tab, so you can see how your GPS is doing on a connection. If you see even 1 satellite, your GPS is fine, you just don't have a good enough signal.
Let us know how you do (but this should be in the gps thread).