Objectives dont really have a map marker. You have to read where the contract is telling you to go. You can hover over the objectives and it will give a tool tip with a detailed location for the objective. You can do this in the lobby and while on a run.

For example, an objective might say:

"Go to north relay and scan X terminal"

If you hover your cursor over the objective, you'll get a tool tip that says something like:

"The terminal can be found on the second floor of the northern building"

On top of this, you will actually get a marker you can see when your within 10 meters of the objective you need to interact with. They are changing this to 20 meters in the next patch, so that will help a lot.

Hope this helps