These rockets are radio controlled through a wire. You can control them by assigning keys to your sight controls. Have a look at the Aircraft guide.pdf file contained in the game's root folder. Here is what it says:
"To guide the rocket, use the “[FONT=Arial,Arial]Increase Sight Attitude[/FONT]”, “[FONT=Arial,Arial]Decrease Sight Attitude[/FONT]”, “[FONT=Arial,Arial]Adjust Sight Control to Right[/FONT]” and “[FONT=Arial,Arial]Adjust Sight Control to Left[/FONT]” keys. We recommend assigning them to the Up, Down, Right, and Left arrow keys correspondingly."