Stupid question but you are not indoors are you???
There are several factors that could affect this. Is your windscreen coated? Has the receiver got a clear view of the sky? Are you waiting long enough for the initial satellite 'lock'?
The best thing to do when trying to get a signal lock from any satellites is to be in an open area (not too close to buildings, trees etc.) and remain still for 48secs - 2mins (The time to get a lock varies for different units and also whether it has just been used or not). Once you have that initial lock, you should find it working very well (as long as you are not going through tunnels). I havefound that if I do not wait for that initial 'lock' / 'fix' then the gps can take up to half an hour to find me (so it is best to wait a minute or two).
The following review should be usefull to you as well.
http://www.pocketgpsworld.com/ttffcomparisons.php
Good luck