GPS and time

How the GPS tells the local time? It may sync the time with other time zone. but how?

And there is a setting in windows and mobile in clock date and time. time zone setting , is this time zone setting links with GPS. if not then what is time zone setting.

In order for GPS to be accurate, it need to have precise time, upto milliseconds, which can only be accomplished through an atomic clock, but it is not possible for GPS to have atomic clock - too costly. However, satellites do have atomic clocks on them. So the GPS unit simply syncs its clock with satellite clock(s) through data signals it receives from satellites.

To get complete picture of how a GPS system works, I suggest you read this article.