Click the Mission button on the menu to open your Mission Window, and you'll see the Mission Icon. (NOTE: you can only get 1 training-mission at a time.)
Right-click-and-hold on the Mission Icon to open the mission menu. Keep holding the mouse-button and move the pointer to the option 'Upload Coordinates To Map' (looks like a grid with an X on it). Release the mouse-button to activate.
Once you've uploaded coordinates, the mission waypoint will be marked out on your Map Window, your Planet Map, and on your Compass. Rotate your character; if the mission lies in your current area, the direction will show as a yellow marker on your compass.
If your compass does not show the yellow marker, press P to open your Planet Map. The mission location appears as a white pointer marked 'M'.
If the yellow marker is visible on your compass, search the smaller Map Window for the X that marks mission location. Click the Map button on the menu to open the Map Window. Left-click and hold on the Map Window to scroll it in any direction.
If you should die during a mission, remember to check the nearest Reclaim Terminal for your Mission Key - you need it to enter the mission again.