To pull up the map, press Back/Select to bring up the map, then you can use Ⓨ/△ to set and clear objectives. Pressing Ⓨ/△ will set a waypoint/objective, then you can press it again to clear it and return to the story objective. The compass at the top of the screen (not visible in detective/thief modes) will also show your waypoint/objective.
Some of the things you have to do for the riddles are pretty convoluted, so if you come across a specific riddle, it may be better just to ask about that one.
Solving Pressure Pad Riddles: I only recently figured this out myself after around 30+ hours of play. What you need to do is step on the pads to activate them without touching the ground or anything else. There's nothing you can pick up to place on the pads, and using Explosive Gel or any other tool won't trigger them.
Often, the order doesn't explicitly matter, however, there's usually a manner which is most efficient or that you need to do in order to complete it, even though it's not stated in game (like one where you have to glide back and forth between some buildings, rebounding off the sides).
If you miss a pad, they will all reset and you have to start over. What you need to do to activate them without hitting the ground varies per riddle, but I have found that the Line Launcher and its upgrade, the Line Launcher Tightrope are pretty helpful with these.
Solving the Riddle with the questions marks on the ceiling: What you need to notice for this one is that you can't hit all 3 at once with your Quickfire Batarangs. The third one (the one farthest from you) won't be targeted. You need to hit that one with a Remote Control Batarang either before or after you hit the first two with your Quickfire. Make sure you do this within the time limit!
IGN has a video where they do this. The cut starts after they've already Quickfire triggered the first two Question Marks.
Best Answer
This is one of the riddles that you need to have upgraded weapons for, specifically the Freeze Blast Grenades. You receive these as a reward after you go back to the GCPD to confront Mr. Freeze. You must first complete the boss fight and defeat him before you receive the upgrade.
This video shows you exactly what you have to do once you get them:
Instructions: