Well, I bought JA CLassics on Humble Bundle Weekly and I installed JA2.

The question is preety stupid but, how do I set a destination on the map? I can't seem to found how :(

Make sure you have a team active and bring up the strategic map. Click on your team and a window will pop up. Select the squad (or individual members), then select 'Plot Travel Route'. Be careful on how you plot it, because the game will take the fastest route as the crow flies, and this may no be what you want. Plot it in small steps, clicking on map points as you go.