I can't do step-by-step at the moment while I'm away from home, but just a couple of things to keep in mind:
-first, clear all the objectives before placing new ones. Clear, then left-click to place.
-second, check what you chose for placing objectives (urban, closed vs. open, etc.) - that determines where you can place them.
-related to that - check the type of battle you're setting up. You can only put objectives into the enemy's setup zone when attacking, your own setup zone when defending, and the "scouting area" between the two setup zones in meeting engagements.
-third, you cannot resize objectives. Objectives are always the same size.
-and finally, related to the above - given that objectives are always the same size, check and make sure that there is no impassable terrain (water, cliffs, etc.) that would fall into the objective area. That's the one limitation - objectives cannot have any impassable terrain within them. If you're trying to put an objective close to water, for example - try moving it a couple of squares further away from the water and see if it works.
By the same token - you also cannot put objectives too close to the edge of a setup area or map edge. If it's not working - move it a bit further from the edge and see if it sets up.
Hope that helps!