Hi Francisco,
NetTalk has UDP support, so that's good.
However to answer your question in more detail, you need to describe it in a bit more detail. From what you've said so far...
So, I'm guessing your GPS device sends a UDP packet to a specific server address at regular intervals. I presume you can control the server (and possibly port?) that it sends to.
If that is the case then you would add a UDP server object (using that port, on that server) to receive the incoming UDP packets. Then parse those packets appropriately (depending on what data the GPS unit is sending.) I think you could add this object to your WebServer procedure if you wanted to (although personally I'd put it on a separate window and start it on another thread, or possibly even a separate Exe).
Cheers
Bruce