You are competeting in a four car point-to-point race. In this event, you need to get from the start to the finish by following the designated route which is point-to-point based. The arrow by the marker shows you the direction of the next waypoint.
The AI can be aggressive and may pit you if you get in their way - try to pit them first or stay away from the apex of the corners if you can.
Be careful not to take a shortcut - the ground is much more uneven than you may think!