Silvie
Unless you have a device with an integrated GPS receiver such as the HP 6315 you will need a seperate GPS receiver.
Does your current device support BlueTooth? If so, there are quite a few options out there. I use the GlobalSat BT338 and love it. Fast acquire, reasonable price, good product. If you're not bluetooth enabled your choices become either a addon device that *may* be available for your device (they are specifically made to fit certain devices docking ports) via a sled or externally plugged in device or a card based GPS that interfaces via the SD or CF card expansion slots.
http://www.gpspassion.com did a great over view of all the different devices available earlier this year. They talk about price, technology, capabilities etc - very complete document.
Take a look there and hop back over here. Search our forums for GPS - theres a number of threads about it.
-Edgar