The GPS data is usually quite easy to interpret (Google: NMEA), it's getting the data from the COM port into DX that's the tricky part.
I don't know if DX supports interfacing with the hardware directly... Or does DX support DLL calls? If so then you might be able to get hold of a serial port DLL that DX can call routines out of to get hold of the data from the GPS.
Failing that, you'd need to find/write a small executable to do the same thing which can be called from DX.