Waypoints are made in the [N]avigation menu. By pressing the key, you can set the coordinates of a sector to be your destination waypoint, and a marker will appear in space showing you in which direction to fly to get there. If you have jump drive equipped, it will always try to jump you towards the waypoint regardless of facing; jumping without a waypoint instead shoots you 8 sectors forward.
You can also save the coords of the sector you're currently in as a waypoint bookmark, allowing you to set it as destination at any time with a click of the plot button. You'll see a list of such bookmarks in the screen that pops up over the nav menu when you go to set a waypoint.