The game autosaves on certain events and achievements. To do a manual save you need to either be in a room you are renting in a city/settlement or you can set up camp in the wilderness (not near enemies). Saving/equals sleep so when ever you save this way the character sleeps 6 hours. At these locations you can also change your outfit. From the camp, you can also fast travel to the major locations that you've discovered (either by actually discovering them or buying a map with the details). So far, I typically ride my horse to locations as it's fun to just look around and see what I come across.

The primary missions are set up in a way that is pretty easy to follow. A capital letter say an 'M' for the Marshall, shows up on the map when that NPC has a mission or information for you. The letter is shown in the mini-map so you get the general direction until you get close. The specific location is shown on the full map. During a mission locations that you need to get to are shown my a yellow dot on the mini and full maps (neutral/friendly people that are interacting with you are shown as blue dots, and enemies as red dots... these colors are also true for random encounters).

Side missions are typically given by 'strangers' and when you get close to one a purplish '?' pops up on both maps. There are a lot of times when you get a general location or hint for missions and side missions. In those cases, link in Assassin's Creed 2, a region of the map will be highlighted in color for exploration. As you hone in, a specific marker will pop up.

I don't know that I really answered your question though, so let me know if there is anything specific you're looking for.