The first time you use the GPS it will take 15-20 minutes to get the signal from each satillite. The satellites transmit a "hello I'm here" signal every so often, and the GPS receiver must pick those up in order to determine your position.
You should definitely be outside for this initial step. Preferably, drive to an open area where your view of the sky is completely clear. Then turn on the StreetFinder program and let it situate itself. After it locates you that first time, subsequent satellite fixes shouldn't take very long.
Although sometimes I can get a fix inside away from windows, you're supposed to use the thing either outside or inside next to a window. The satellite signals aren't like radio waves--they can't penetrate very well.
If you go outside and still can't get a signal, there's probably something wrong with your receiver.
GPS has got to be one of the coolest things humans have ever come up with. My GPS receiver has come in so handy lately.
Good luck.
l2c