To set sail you will move to a port location and see: Set Sail.
From here clicking set sail will open a new section under the actions section.
You can then select the port you wish to travel to; it will show you the cost in gold and the time out value.
You cannot set sail if you cannot move or are dead, or you do not have the gold to set sail.
Upon setting sail you will be moved to that new port and have the map update appropriately.