Build an initial milestone (or wooden roadsign), then right-click it and select 'create path', fill in a name, your cursor changes to you can place an extension object (hold ctrl to move while this cursor is active, mouse wheel rotates, the arrow marks the waypoint that your character will head toward), place extension so that the line between the next and the current waypoint (or the initial object) is not obstructed, build. Repeat on the placed object with right-click and 'extend' or 'connect' it to an existing one.
Merging into simple questions thread.