Just do a search for your zip code, i'm sure you'll find a decent number of caches in your area, even if you live in the boonies.
and annon, are you sure your gps wasn't jacked up or something? i tried to find my first cache with my parents for like a half hour, but tried it again the next day with a different gps and found it within like 5 minutes (it was like 300 yards away from where we were originally looking >___>) we tried using a magellan car GPS first, and then i remembered how we have a magellan sportrak GPS laying around, untampered with, so i used that and it worked like a charm.