Well, there's two kinds of answers to this kind of question. You can either troubleshoot your existing antenna, or you can try building one from scratch.
It's obviously cheaper to try to fix what you got first. Try this:
1. Rotate the angles of the antenna. Some cheap-o ones are not omni-directional.
2. Remove obstacles between the receiver and the signal.
3. Switch your radio from stereo to mono. Sometimes that can help.
4. Check if your antenna is powered or passive. Passive antennae work better in conditions near the station. Powered antennae might be required for signals farther away from the station.
5. Try boosting the signal with a dipole fm antenna (only 4.99 at radioshack)
http://www.radioshack.com/product/index.jsp?productId=2062691