There's a little button (same color as your interface) on the lower left hand corner (and top edge) of your main interface panel when viewing the main map. Click it to set a rally point. You can choose from a few different types of rally points and rename your rally points.
Once you've setup some rally points, you can do a few things.
1. Set a ship to go to a rally point. Click on a ship, look at the ships icon in the lower left hand portion of the interface, and look for a little yellow or blue arrow (kinda of a semi button - clickable but not raised or 3d like a larger button, due to how small it is - yellow means no rally set, blue means rally is set). Click that once you find it, and you can send that ship to a rally point (handy when used in coordination with governors, see below).
2. Set a planet's ship production to a rally point: Similarly, click a planet, and again, look for the little blue arrow thingie on it's icon in the lower left hand portion of the main interface. Click that once you find it, and you can set a rally point for the planet.
(Side note, I wish you could set rally points quickly from the F1 planet list)
Note that you can set 'none' to deactivate rallying.
So now you've got some rally points and several planets sending ships around. And you need to change things.
Press F6 (I think this is it) to open up the sub window with the governors tab, and select the governors tab. You have 3 governor options.
One governor (top one) lets you change ship production on the fly - so you can say all planets making "Ship X" will switch to making "Ship Y" (nothing to do with rally points but incredibly handy none the less).
Another governor lets you change the rally point for ships that are already enroute. So a planet with a rally point makes a ship, and that ship heads to that rally point. Governor #2 lets you change the rally point for all ships currenty travelling to that rally point. This should also work with ships that you've manually sent to a rally point. Very handy for that sudden change of plans.
And the other governor lets you change the rally point for planets themselves - so you can change all planets pointing from rally point X to rally point Y.
Be careful that you do switch the planetary rally points...I spaced doing this when I was learning how to use them...I'd only switch ships enroute, and it took me a while to figure out why my production was going to the wrong spot.
The tutorial probably explains things a lot better than me!