OK..I figured it out.
For the next noob that's looking for something similar:
I created a "defaultSetStageTRIGPlayerOnly" trigger box where I wanted the compass to show the next location, setting all the properties to tie it in with the quest that will point to it. In my case I placed it front of the southern entrance to Lamplight - The Bandit Guild.
In the quest I created a "Reference Alias" type entry under the other entries that were already in the "Quest Aliases" tab.
I named mine "LamplightSouthLoc" and selected "Specific Reference" and pointed it to the trigger box I created above. I did not tick any of the boxes, though I don't know if I should
Under "Quest Stages" I incremented the stages up 10, in my case it went to 40.
I then unticked "Complete Quest" under stage 30 and ticked it in stage 40.
In stage 40 I then added:
SetObjectiveCompleted(30)
In the "Papyrus Fragment" box on the right.
Under the "Quest Objectives" tab I created a new objective, incrementing it to 40 and left all the fields blank.
I think that's everything I did.
Now, in my case, when the Queen's letter to the Dragonborn is read the compass shows the location to go to and when the player enters the trigger at that location it is disabled, the quest is advanced and completed and everything is good to go.