It's not a quick and easy topic to give you an answer on..
Have a look at the
amx_apache plugin for some code examples creating and firing missile entities and making them explode when the hit them.
The client_PreThink and pfn_Touch functions are where you should be looking..
I'm not sure about making it aim at a player..
I guess in the PreThink function you would want to find the closest enemy player and trace a line to them? and find the angle required to move towards them and set that for your missile..