GPS's (and batteries) fail. And learning to read a map and use a compass builds good navigation habits, meaning you're less likely to get lost in the first place. Most important, though, exploring without a gadget makes you pay close attention—which is why you're out there in the first place.
1. Learn to read a topographic map. North is at the top, the scale is at the bottom, those squiggly lines represent 40-foot changes in elevation.
2. Orient your map so it points to magnetic north*—turn the housing until north is at the top, line up the north arrow with the red arrow graphic, and turn the map until it lines up with the edge of the compass.
3. Find an identifiable feature, like a mountain summit, and take a bearing on it: Point the compass's direction-of-travel arrow at it and turn the housing until the red arrows line up.
4. Set your compass down on the map so that the long edge touches the feature you can see.
5. Line up the red arrows again and draw a line on the map. Repeat this process with one or two more features in the distance. You're standing (roughly) where the lines intersect.
*Magnetic north drifts from true north, depending where you are.