Welcome Lukas,
If the mission is working correctly, the convoy will show up as a large red star making it's way across the ocean somewhere.
If not this thread should help you out, worked for me (thanks to peabody
):
http://www.subsim.com/radioroom/show...ight=intercept
By the way, the destination harbour would be a bad place to ambush a convoy you are expected to destroy, you'd be much better-off in the open ocean where you can slowly stalk them IMHO
.