I'm not sure that you can set them up in native FS2002.
You can work out where they are using a chart and radials from known stations i.e VOR but you won't see them on the moving map.
The only way to see them is to buy one of the add ons that has an FMS set up in it, and then waypoints appear on the map view of the nav display on the panel. This uses a nav database that is similar to the real thing. You can create your own waypoints in this set up, but you'll lose them each time you close the application unless you save the flight plan in the FMS. 737-400 is a good one.