Waterloo, Ontario, Canada, North America, Northern Hemisphere, Earth, Milkey Way...etc.
Just from my experience, but the quest markers are a little...tricky.
They ALWAYS show when you're doing your beginner quests. They ONLY point at the direction you need to go to finish your current beginner quest.
Unless you hover your mouse over a different quest in your quest window (or click on a quest to open it in a new window). THEN, it points to the direction you need to go to finish the quest your mouse is hovering over (or have open in a window). And this arrow doesn't show up unless you hover your mouse over said quest (or have said quest open in a window).
That's my experience, anyways. Tell me if that worked.