The ship's wheel cursor is used whenever you want to move a selected fleet to a new sea zone. There are four other things a fleet can do within the same sea zone where it starts its turn. These are called missions and each one is ordered using a different mouse cursor.

Clicking with a telescope cursor over the sea zone orders the fleet to patrol the sea zone, looking for enemy ships.

Clicking with a red X & ship icon over an enemy port orders the fleet to blockade the port.

Clicking with an anchor icon over a friendly port orders the fleet to anchor in the friendly port.

Clicking with a cannon icon over a land tile adjacent to the sea zone orders the fleet to establish a beachhead for an invasion next turn. This will be covered in a later episode.