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

• Waystones should be put at junctions of roads, connected in between by catseyes.
• You have to enable highways via settlement settings checkboxes. There are two of them.
• If a waystone is green and all catseyes are green but the arrow from the next waystone says unknown (and you have highways checked in settlement settings) leave the area and come back, it will update with the name of your settlement.
• A waystone needs to be off