Gamma-Ray Bursts (GRBs) are likely associated with a catastrophic energy release in stellar mass objects. According to the standard fireball model, the prompt gamma-ray and afterglow emission are produced at distances greater than 10^(13) cm from the central source. Thus, electromagnetic observations can give important, but indirect information on the nature of GRB progenitors. The energy expected to be radiated in gravitational waves (GWs) during the catastrophic event leading to a GRB, would instead be produced in the immediate neighborhood of the source. Thus, the associated GW signal would carry direct information on the properties of the GRB progenitor. In the framework of the expected association between GRBs and GWs, the results of an analysis aimed to search for a burst of GWs in coincidence with GRB 050915a are presented. This long duration GRB offered the opportunity for Virgo's first search for a GW signal in coincidence with a GRB. A set of strain amplitude upper-limits for different but quite general types of burst signal waveforms are derived, so as to evaluate the level up to which Virgo, when reaching nominal sensitivity, will be able to constrain the GW output associated with a long burst. This analysis plays the role of a prototype, crucial in defining a methodology for GRB triggered searches with Virgo, and opening the way for future joint analyses with LIGO. Finally, some prospects of this study will be discussed.