Its actually not that hard (done it myself!).
Best place to start looking is here:
http://msdn.microsoft.com/en-us/library/bb158708.aspx
You will need to download the windows mobile 6.0 SDK from here:
http://www.microsoft.com/downloads/details.aspx?FamilyID=06111A3A-A651-4745-88EF-3D48091A390B&displaylang=en
The sdk actually contains a sample GPS application that you can use to customize to your own needs.
