Originally Posted by mhg83
Pull up your map. There should be Icons on where to go. M for Michael, F for Franklin, and T for Trevor. You can even click on the icon and a GPS will appear telling you where to go.
The fourth character is your Online Character.
Actually the letters on the map will refer to the person giving you the mission, not who they're for. Instead, you'll look at the color. Michael's missions are blue, Franklin's are green, and Trevor's are orange.
Depending on where you are in the story, only one character may have missions available. Other times, you have to do specific missions to unlock other missions.