Wingdings is a text font. Add any wingdings character the same way you would add any text. Create a text event on a track above the video track, choose Windings as the font, and type.
Be aware though that text media does not support syncronizing with the video track, so that if you are trying to point at a moving object it's a pain in the ars. If it's a still, then it should be easy. If you're trying to highlight a moving object, I would suggest using the cookie cutter (media affect) approach.
<<Be aware though that text media does not support syncronizing with the video track>>
Not quite true. You can keyframe the position to move with the video. If its a long, convoluted trail it might be a pain but otherwise its not a big deal.