You need to patrol in the area of the yellow icon for a certain amount of time, and eventually you will get the message 'primary objective completed.' It is quite normal for the marker to be shifted at some point - just move to the new one and patrol until you get the message.
With regard to sinking the required number of ships, make sure they are all sunk within the marked area. Don't worry about running out of torpedos; just nip over to Heligoland (closest) and choose 'refit'.
