You have to place Rally Points before you can use them. There's a little blue icon at the top of the main screen in the shape of a downward pointing arrow. It's just next to the button that gives you a breakdown of sector influence. Click on the blue arrow icon and the cursor will change to a rally point marker; click on the map to place it. Once you've placed at least one rally point, go to the planet screen. There's a "set rally point" button in the middle, at the bottom. Now when you click on it, you'll get shown a list of the rally points you've set. Click on one of them to set it.
Hope this helps.
D.