set the mission, go to cap and look for the waypoint. it should be red when you set the mission.
It still doesn't show where it is on my map.
Is there a hunt before the mission itself?
What contact is the mission from?
Re-read the mission briefing, and see if the contact is asking you to defeat some enemies first, to find out from them where the mission location is - they use that feature sometimes.
Also, welcome to the forums 
@Golden Girl
City of Heroes comics and artwork
Also, where are you now? If the mission is in Cap Au Diable, but you are in Port Oakes (or any zone not Cap Au Diable), then it won't show up on your map. Make sure you are in the correct zone for your mission.
Let me never fall into the vulgar mistake of dreaming that I am persecuted whenever I am contradicted.
~Ralph Waldo Emerson
"I was just the one with the most unsolicited sombrero." - Traegus
I have noticed on rare occations buildings and other such details blocking line of sight to the on screen mission beacon. If I flew over or around the blocking item it would once again show up on my screen. Have only ran across this twice ever.
Use the mini map to find mission door if needed.
I'm on a mission to find a cave that the circle of thorns have a relic in.I think its in Cap au Diable somewhere. Can i get some help?