I picked up one of these recently for $20.
The black USB-serial adaptor is held together by a screw under the label. Inside is a Prolific PL2303 converter. The GPS-500 talks TTL serial at 4800 bps.
After cutting part of the back off the gps module to get at the connectors, I soldered on three wires. The connections are, from left to right from the back with the connector at the bottom:
1 - not connected
2 - +5V
3 - GND (which I didn't connect)
4 - Data
5 - GND (which I did
6 - not connected.
When powered up, the blue LED in the unit should glow. I get a decent fix indoors. Works fine with the TinyGPS http://arduiniana.org/libraries/tinygps/
I got the pinout here: http://ubermodder.com/budget-usb-enabled-gps/
and here: http://www.flickr.com/photos/imager/4383334403/