If you mean the GPS icon in your status bar, it means that the GPS is not locked onto enough satellites to give you an accurate location fix.
Mine does that if I haven't used it for quite a while. I turn on Google Navigation, tell it to give me directions home (or some other pre-loaded destination, it really doesn't matter) and throw it on my dashboard. Once the turn by turn directions start talking to me, I know its locked on the satellites.
It is easier for it to get a lock if you leave it in a window or other location with unobstructed view of the sky. The GPS antenna will struggle to hold a lock in some buildings.