I use this one:

LocationManager.requestLocationUpdates(String provider, long minTime, float minDistance, LocationListener listener)

For example, using a 1s interval:

locationManager.requestLocationUpdates(LocationManager.GPS_PROVIDER,1000,0,this);

the time is in milliseconds, the distance is in meters.

This automatically calls:

public void onLocationChanged(Location location) {
    //Code here, location.getAccuracy(), location.getLongitude() etc...
}

I also had these included in the script but didnt actually use them:

public void onStatusChanged(String provider, int status, Bundle extras) {}
public void onProviderEnabled(String provider) {}
public void onProviderDisabled(String provider) {}

In short:

public class GPSClass implements LocationListener {

    public void onLocationChanged(Location location) {
        // Called when a new location is found by the network location provider.
        Log.i("Message: ","Location changed, " + location.getAccuracy() + " , " + location.getLatitude()+ "," + location.getLongitude());
    }

    public void onStatusChanged(String provider, int status, Bundle extras) {}
    public void onProviderEnabled(String provider) {}
    public void onProviderDisabled(String provider) {}

    @Override
    protected void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        locationManager = (LocationManager)getSystemService(Context.LOCATION_SERVICE);
        locationManager.requestLocationUpdates(LocationManager.GPS_PROVIDER,1000,0,this);
    }
}

For the getLastKnownLocation method, it is said in the documentation :

If the provider is currently disabled, null is returned.

Which means your GPS is disabled.

For the requestLocationUpdates, you are requesting a location every 20 seconds, try to decrease this number so you know at least if your program is working.

You can try this :

LocationManager locationManager = (LocationManager) getSystemService(Context.LOCATION_SERVICE);
locationManager.requestLocationUpdates(LocationManager.GPS_PROVIDER, 0, 0, this);

Also I really advise you to use the new API to request location updates : https://developer.android.com/training/location/receive-location-updates.html

It is very fast and accurate, but you need to create a google developer account (for free) and create an api key. All needed information should be in the link.

It happens with emulators, try rebooting the emulator.

Or, close both eclipse and emulator and start both again