If it is the first time you try to make a connection using GPS it may take a while for the connection to be established, maybe up to 5-10 minutes.
The possibility for establishing a GPS connection will be increased if you are outside. When a GPS connection has been created the first time, then it should be faster to create a GPS connection the next time.
If supported by your device, it is recommended to use Assisted GPS (A-GPS) to speed up the connection time for the GPS. A-GPS uses your mobile internet connection to connect to a Nokia server that tells your device which GPS satellites it will be able to connect to, substantially reducing the time to get a GPS fix. Assisted GPS can be enabled in the Positioning methods menu in your device settings.
Note that the Map view in Maps 3.06 and later shows by default the last viewed location and not your current location. To center the Map view to your current position, tap the red dot icon on the top left corner of the screen.