Malaki86 is right that you don't need a constant connection. The GPS receiver receives signals from some special satellites and then sends the location data to the program on the PC. Nothing else is necessary.
However, some companies, like Microsoft and Garmin, have features built into their navigation programs that will take advantage of an internet connection for supplementary functions like getting traffic information or making hotel reservations or checking airline schedules or getting weather information. Some folks like to use these features so they get a USB dongle that gives their computer access to the internet via the cellular phone network anywhere they have cellular service.
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