Hello,
You can manually put flags on the map as you find this and label them. It is as simple as a point and a click...ok that is exactly as it is. :P
I hit esc and then choose world map (think there is a short-cut key but forget what it is) and label the map that way.
The arrow on the maps is you showing which direction your facing and the map does have a compas.
There are some quest markers that are given but most you need to make.
Welcome to our friendly group!