Does your GPS module has DB9 connector?
There should be so many things in the circuit, like a max232 IC between the PIC and the GPS module as an example. If you are using a device which is 3V operated, there should be a 3V to 5V level shifter between the PIC and the GPS device.
The coding is the one last step in the process of doing a microcontroller project!
Make sure that you are using the same baud rate of the GPS module.