A Jihad works mostly like a Crusade (though I'm not sure if you're familiar with that).
You create a Jihad/Crusade, then target the object on a province. Crusades may only be targetted at non-Catholic lands, whereas Jihads may only be targetted at lands that once, but not anymore, belonged to Muslims.
So you can only target that province with a Jihad if you or another Muslim faction controlled it in the past (making it more of a defensive devise than a Crusade).
Once targetted, an army will appear, but it can only move towards the target province, so you can't use it for other purposes.