Those GPS devices which do not connect with a cable to the main plug in the bottom of the PDA will not work with the default Port Settings. You need to find the correct COM port and baude rate.
Easiest way to do that is to read the manual of your GPS device. Normally, there will be a section telling you about PORT settings for your GPS. Try these settings first, they are normally correct.
Most of all you need to make sure that no other application is using the COM port of your GPS device. "GPSInfo" is a typical application that runs on the same COM port as your GPS (it even tells you that the GPS is working fine, but at the same time blocks SeeYou Mobile from accessing it). The best way to make sure that no other application is using the GPS's COM port is to soft reset the PDA and run SeeYou Mobile only after reboot.
If you would like to do it the hard way, you may also follow this procedure:
1. Go to Menu > Settings > Hardware > Terminal > Port Settings
2. Change the COM port (press OK each time) until you see something coming through. If it's readable, your fine. If it's not, keep searching.