You start with a map in Icarus, but navigating the map can be difficult since you don't have any icon indicators in your character's HUD. Fortunately, there is an easy way to set a waypoint on your map that shows up on screen, making it easy to navigate to specific points.
First, open your map by pressing M on your keyboard or by pressing Esc and navigating to the Map tab. Then, find the spot where you'd like to place your waypoint and place it by double-clicking either the left or right mouse button. It makes no difference which button you use, but you must double-click it.
Once you have done that, your waypoint will be placed on your map. It shows up as a red marker, and when you switch back to your character's view, you will see the red diamond icon on your HUD. This will probably be the most helpful tool you can have when trying to find a specific location, especially in the earlier levels.