Can Ultimate GPS module use arduino micro instead of UNO?
Your photo shows the GPS connected to pins 0 and 1 (RX and TX) on the UNO.  But you don't show the sketch you are running.  Do you have it set that way in the sketch?

It turns out the micro and UNO are different in the way those pins work.  From http://arduino.cc/en/Main/arduinoBoardMicro


  Serial: 0 (RX) and 1 (TX).  Used to receive (RX) and transmit (TX) TTL
  serial data using the ATmega32U4 hardware serial capability. Note that
  on the Micro, the Serial class refers to USB (CDC) communication; for
  TTL serial on pins 0 and 1, use the Serial1 class.


This suggests to me that you'd need to change the code to read pins 0 and 1.  

Easier is probably to wire it up to pins 2 and 3 and use the defaults in the sketch

// If using software serial, keep this line enabled
// (you can change the pin numbers to match your wiring):
SoftwareSerial mySerial(3, 2);