If this is a ship you've created yourself, you need to create all the necessary files. Open up the 'Sea' folder and pick a merchant - say NOTMS. Open that folder and you'll see all the different required files. Then go to the 'Roster' folder and open the American folder and then the Sea folder there. Only one file, but it actually puts the ship under that country's control.
If this is a ship you've downloaded, then you just need to put the appropriate folders in the appropriate places, and it will turn up at sea and in convoys. To have them in harbors you have to use the Mission Editor to script each one individually.
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“Never do anything you can't take back.”
—Rocky Russo
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