Goals are objectives and one of the possible conditions for completing a level.
It is designated for every sprite. You simply have to right-click the sprite instance and select customize on the pop-up menu.
When editing a level, if you have picked Goal Completed as your end condition, then you have include at least one Sprite that is marked as a goal (objective).
There is also an option in the Sprite Property page where an automatic goal option reside. This will automatically mark all the sprite of that type as a goal when inserted on the level.