To get GPS, you need to have Location Services on. Then you need to be outside with a clear view of the sky. Could take about 20 minutes or more to get a lock the first time. It helps if you can use one of the mapping programs (I like GoogleMaps since it uses cell tower triangulation to locate you) to locate your position as close as possible.
One reason it can take such a long time initially is that the device needs to download the current ephemeris tables so it knows which sat is where. Locating yourself helps to speed up the process.