The tips I have seen on pdaphonehome.com for doing this seem to be missing some pertinent info. I had only sporadic luck getting the icon to show up. This method works every time I found this on Windows Mobile tips, tricks and revelations » GPS in Windows Mobile 5.0 can handle more than one app at a time

Pewe said,
March 1, 2006 @ 1:57 am

To enable GPS in ‘Settings’ use a regeditor and do this:

Start up a registry editor (i usedPHM regedit)
Go to: HKEY_LOCAL_MACHINE\ControlPanel\GPS Settings
Delete the Dword in there and the value and replace them with:
A new DWORD called “Group” and give it the value of “2″ (dec)
And create a new string called “(default)” with no value (I think there was originally a string called redirect, rename this “(default)” if it’s there
The GPS panel will now show up in your connection settings.

note: you may have to soft reset after each stage if it appears not to work straight away