Which version are you using ? Normally one just selects the gradient tool, sets the background and foreground colours, drags the cursor in the required direction and that’s it. There is no OK button (PS6) so to keep it (if you are happy with it) select Save.
You might try using the gradient tool instead of the gradient map.
The gradient map is usually used to map the equivalent grayscale range of an image to the colors specified in the gradient you choose. For example, if you chose a gradient from red to green, the shadow areas of your image would be mapped to red and the highlights to green. It doesn’t sound like this is what you are trying to accomplish.
You might try creating a new layer at the top of your layer stack. Then select the default colors (D). Choose the Gradient tool from the toolbar. Select the Foreground to Background gradient (probably the first one). Make sure the new layer is selected and drag the cursor across it from left to right. You should get a smooth gradient going from black to white as you move left to right across the image. Now set the blending mode for this new layer to Multiply. This should give you an image that is light on the right hand side and fades smoothly to dark on the left hand side. You can adjust the opacity of the layer to get the effect you want. Also, you can play with the different blending modes to see if they give you more of what you are looking for.