As we resell the Compaqs, I'm a bit more familiar with those units. These are things that we suggest to check out when users are having problems, which should basically be the same for your Jornada.
1. Cabling - The Aeros and Ipaqs require a special cable to be used for GPS. I'm assuming that this would be the same with the Jornada.
2. Direct Connection Box - This could be under Communications, or PC Connection. This is a box that can be checked or unchecked. Beside it states "Enable direct connection to desktop". The wording may be slightly different but means the same. If this has a checkmark, click on it to remove it.
3. Reset - Somewhere on the Jornada, you should have a Reset. This should reset the unit without losing the program or data. Again on the Aeros, there is a pin sized hole on the back of the unit that a paperclip works perfect for. I would check the manual or paperwork that came with it to see where it is located.