To set a single waypoint for a ship to GET TO:
-- right click, select 'waypoint', hold down 'control' and click where you want the waypoint to be. it sets down a little purple dot. double click the dot, and name it something so you remember. then double click on the ship you want to get to that waypoint, click 'initial orders', select 'waypoints once', then select the name of the waypoint. the ship will then go to the waypoint, stop, and follow the next instruction in the priority level.
To set a waypoint PATH for a ship to FOLLOW:
-- right click, select 'waypoint', hold down 'control' and click where you want the waypoint to be. now without clicking anywhere else, hold down control, and click somewhere else... it sets another waypoint, and connects the first waypoint to the second. now click somewhere else (while holding 'control')... it sets a third, and connects all three, in a PATH. now put a ship at the beginning of the path, (the first waypoint) (you can make as many waypoints in a path as you want by the way), then double click the ship, click 'initial orders', select either:
-- Waypoints once: the ship follows the waypoints once, then stops, and waits for further instructions
-- Waypoints: the ship follows the waypoints then when it's done it goes to the beginning, and follows them again, indefinately. this is useful for a ship that's supposed to be 'patrolling' or something.
then select the name of the waypoint path (double click on the waypoint path and name it) and that's it!