It needs time. It can hardly lock inside a building. The weather should better be non-cloudy.

Install application location-test-gui.
It will tell you how many satellites it can see and how many satellites it has locked to.
To get a GPS lock, you need at least four locked satellites;
to get four locked satellites, you need about four-ten satellites seen in the sky.

By moving from one point to another you can change how many satellites you can see (one, two, four, ten).
When you see eight-twelve satellites, you can stop and wait till you get GPS lock.

Check (in Settings->About product) what version of operating system you have.
It's said that the most recent version (10.2010.19-1) has faster GPS lock.
If you have older version, you should better update, though not necessary.

Inside a building nearby a window, getting a GPS lock can take half an hour. Don't worry; satellite signals are very weak, and interference due to multiple refractions from buildings doesn't make locking onto them easier.