Actually, Bevro, isn't it displayed as DD MM.mmm? Geocaching.com is using decimal minutes and not seconds.
EagerBeavers- You should also set the map datum to WGS84. To do this press Menu, then go to Setup<enter>, Map Datum<enter>, Primary<enter>, then choose WGS84 <enter>. Unless you have a reason to use a different ellipsiod, you should set the primary AND the secondary datum settings to WGS84.
Also, make sure that the Coordinate System is set to Lat/Lon. To do this press Menu, then goto Setup<enter>, then Coord System<enter>, Primary<enter>, Lat/Lon<enter>. You will then be offered a choice of Coordinate Display methods. Choose DD MIN.MMM (or DD MM.mmm, depending on your firmware version)
If you wish, you can set the secondary Coordinate system to UTM to allow you to see those readings on the GPS as well as the Degree Minute readout.
To enter coords manually into the GPS, you need to hold down the GOTO key for 2-3 seconds. You can now edit the two location fields. Simply highlight the first field <enter>, edit the coordinates using the thumbpad, and press enter. That will send you to the second line, edit that<enter> and then scroll down to the Save button<enter>. You can use the same screen to edit the "WPT001" entry to something more intuitive. But that is part of my advanced class, you have to pay for that!
Hope that helps. Good luck.