Normally the compass event should pop up. What version are you playing on? Try installing v1.1 patch for MTW or v2.01 for VI, although that could screw up your savegame, but not necessarily. I recall there were some issues with that in MTW 1.0.
The compass event takes effect at the start of the high era in 1205, so you should be able to build ships better than barques with a level 2 shipyard.