First read the Highway Documentation, then read the notes below.

• You must enable highways via the settlement settings checkboxes. There are two of them.
• If this is the first highway in your area you must place a waystone on a settlement to be able to lay down catseyes leading away from it to another junction.
• Highways require two tile roads or one a tile road flanked by at least gravel.
• Catseyes are laid down on pavement tile corners. They can only be laid down leading away from a waystone.
• Waystones should be put at junctions of roads, connected in between by catseyes.
• Terminate to a waystone at least 2 tiles inside your settlement.
• If a waystone is green and all catseyes are green but the arrow from the next waystone says unknown pointing to your settlement (and you have highways checked in settlement settings), leave the area and come back, it will update with the name of your settlement.
• Use the right click menu on a waypoint to Find route. If your settlement is in the dropdown list it is connected.