Trouble with Parallex GPS and Arduino Mega2560

You have 4 "phones" labeled Serial, Serial1, Serial2, and Serial3. You want the GPS to call you on one "phone" and you want to talk to the PC on another "phone".

The only "phone" that can talk to the serial port on the PC is the one labeled Serial.

It really isn't rocket surgery to figure out what "phone" the GPS has to be connected to, pin wise, and what "phone" you use to talk to it.