They mean on the map that you dont know about at the bottom of your journal... not the map that comes up when you push M or type /map....
Just a heads up cause this had me stumped... So Menu > Journal > Map (button in bottom left corner of window)
You will need to know this for certain main storyline quest in the game. Else it is very unlikely you will find the locations they want to go on your own
Go Go Missions!!