The GPS displays your location, the path you want to follow (the "breadcrumb trail"), and, optionally, a map. All at the same time.

Some devices don't have maps. The ones that do will display the path over the map.

You can navigate by keeping your location on the path. Some units will give you a warning if you stray too far from the path.

"Warnings of turns" is an extra thing. Basically, this is done by marking locations (like waypoints) along the path that are "turns". When you get close to one of these points, it's announced as a "turn instruction".

Sometimes, these locations are embedded in the file you load to the unit. In other cases, the unit determines them by following the path and noting turns by changes in angle or seeing what roads the path appears to be following.