Quick Goto is an advanced setting available since r14827 or OpenTTD 0.7.0. It can be found in the "Interface" tab of the Advanced Settings window as "Quick creation of vehicle orders".
If enabled, the "Go to" button will be activated automatically on opening the order window if the vehicle has less than two orders already. Furthermore, the "Go to" button will stay active when clicking on a station/waypoint/depot so one can fill in multiple orders without having to click the button for each.
Another little interface improvement was introduced with r14827, but is active regardless of the Quick Goto setting: Holding Ctrl while giving a goto order to a vehicle will result in a "full load" order for stations, "service" for depots and non-default non-stop behavior for a waypoint. Also see Hidden features.