That Blue LED is blinking when GPS receiver have lock GPS satellite.
More difficult if the module in indoor to lock Satellite signal.
(Take time when power up, can up to 5 minutes for first time)

This is how to check that GPS working or not without coding.

1) Upload empty sketch to arduino uno, File>New, select port and upload
2) Download U-Center software (LINK)

3) Connect wire, VCC to 5V, GND, TX to D1, RX to D0
4) Open U-center, Receiver tab, set port and baudrate(9600)
5) Can see Green connection blinking at bottom of software.
6) Wait. (From my testing is about 5 minute if fresh module,
less than 1 minute is already ON before this)

 


info:
1) upload blank code first before connect GPS wire because D1,D0 is same as USB port.
2) Close arduino IDE before open U-Center because we will use same port.
3) Open U-Center after all wiring and code ready.
4) if still cannot get data,please check wire TX,RX or hold reset button on Arduino
(we don't want the arduino code running, we only use arduino as a bridge.)


 

1) The code i give is just a reference but can use to see is that GPS working or not without using Ucenter.2) Ucenter is PC software use to display GPS data only to see whether your GPS is still working or not without using arduino code (Ucenter not use in your project)
3) Green blinking mean your GPS is sending a data to Ucenter (but not indicate satelit already lock or not)


May i have a picture for:
1) Ucenter + Arduino + GPS (with blank code/no code)
2) GPS + Arduino serial monitor with my sample code (not use Ucenter)