You go to the trade route screen, select the cities you want it to vist. If you go to the trade screen click the down button underneath the trade goods so they all move into the automatic trade section. If you start it your captain decides what to buy or sell.
Ahh, I thought you meant you could just send him out to wander between cities on his own without selecting a route.
Those of you wondering how you can gain reputation, I found a list of things which affect your rep.
Rep+
-Sell a city goods when they are at 0 or very low stock
-Accept and complete assignments from the town hall
-Donate to the church
-Upgrade the church
-Rep increases based on number of workers in your employment
-Rep increases based on number of tenants in your houses
-Build special buildings (wells, plaza, etc)
-Provide a patrol convoy
-Rep bonus in home town.
Rep-
-Buying goods from a city when their stocks are low
-Sabotage/Piracy (if recognized)
-Blockading a city
All rep decays constantly back towards 0, so they will eventually forget if you go too low on rep. Negative rep takes longer to be forgotten though.
Edit: I have really found the trade route summary useful in determining overall route performance. You can get it by clicking the convoy list button at right then the trade route tab there. It lists each convoy, which route they are running, and the stats on their last voyage (Overall profit, % of cargo used, etc) and then an overall summary of its entire performance since it started.