Couple of things. Some you probably already did. Make sure only one GPS app is running at a time. WM5 does have a serial splitter for GPS, but it is neither on by default, nor consistant. Try each of the comm ports individually. If there is stuff coming in, i.e. the GPS says it has a lock, it should take no time at all to show up on a program.
Last, hop over to GPsPassion and pick up GPS Monitor
http://www.gpspassion.com/fr/downloads.asp?id=1 it is a very basic utility that can scan all your ports at all baud rates looking for a GPS text stream (and that is what NMEA is) and will let you know where it finds it. GPSInfo does similar, but it couldn't hurt to try another.