@ crodrigues : The best documentation for connecting GPS-LS40B-3V to a PICAXE is probably in AXE210.PDF. This document is for a PICAXE project board for an 18-pin PICAXE and XBee or GPS-LS40B-3V modules.
This document can be accessed from the Programming Editor menu, Help -> PICAXE-18 datasheets -> PICAXE Connect (AXE210).
Page 3 shows how to connect the GPS-LS40B-3V directly to a PICAXE. This is shown for an 18X but the same principles will apply for any other PICAXE. You may not need GPS Data In 2 connection, that depends on application.
Page 2 shows a MAX3232 interface to connect the GPS-LS40B-3V to a PC serial port.
The easiest way to connect the GPS-LS40B-3V to a PC is with an AXE210 board with MAX3232 fitted and an AXE027 or AXE026 serial cable plus you will need a suitable PSU.
The easiest way to connect the GPS-LS40B-3V to an 18-pin PICAXE is the AXE210 board with an 18-pin PICAXE fitted, plus PSU. You will need an AXE027 or AXE026 cable for programming the PICAXE.
For non 18-pin PICAXE one solution is to use the AXE210 as for the 18-pin PICAXE, do not fit a PICAXE but take flying leads from the AXE210 to the actual PICAXE board you are using. Alternatively you can build an interface board or put the interface on your own PICAXE board which replicates the AXE210 wiring.
If you are not familiar with PICAXE or electronics, the best course may be to use the AXE210 with an 18-pin PICAXE, get familiar with it and its operation, then attach to a PICAXE 40X2 later.
The GPS-LS40B-3V is a module designed to be used as a sub-assembly within projects with connections made on project boards and PCB's as required, and would not normally be used with a cable. To use with a cable will require a board to mount the GPS-LS40B-3V on and connect cable to, and the AXE210 is one way to achieve this. You can build your own interfacing board if you wish.