I'm new to unity and I was wondering how to make a set objective so the player knows what to do.
If you're looking for some easy solution, there isn't one. You have to do it all manually, with code.
You'd probably want to set up some sort of condition that would be checked inside of Update() (like if a player reached a certain position or if they killed X number of things), and then you'd probably want to set up a GUI that displays the objective to the user, as well, using OnGUI() and the Unity GUI.
This is actually a really good case for some object-oriented programming, as well... you could have an Objective class, and store a list of Objectives, displaying each one to the user, and having some sort of callback for the condition in which the objective would be completed.
That's a fairly vague question - but there is a very good example game in the book Unity Game Development Essentials, by Wil Goldstone. It's worth going through the whole tutorial/game. In his game, the player picks up batteries until he has enough to light a fire - and to get one of the batteries he has to play a mini-game of throwing coconuts. This should give you an idea of how to write code that checks for items, etc.
You can also find tons of other resources for learning Unity at How can I start learning Unity fast.