If the quest has, let's say, three different ways you could do it, why not make the first one...
Red. When you open up the quest log, have the text in red, and make it's arrow on the compass red.
Second option can be...
Blue. Same as red, but blue-er.
Etc, etc. I'm sure that wouldn't be too hard to do, but I'm not a programmer, so I don't really know. I thought that'd make it easier to keep track of where you need to go, and eliminate the need to open the map every time you lose track of the arrow you want to follow.
What do you guys think? No? Yes? I don't like red? Or am I the only one who has this problem / thinks its a problem?