It can be a bit confusing at first, but for the most part all you have to do is click on a quest, and click on the button to show it on the map. From that point you can either warp to the nearest location you have open, or you can click the arrows on the map to change to the next area until you find where you actually need to go. Also you can check quests to track them so that they will point you in the right direction.