First of all, Edit down the costs of everything related to Espionage by about a third - the game's costs are absurdly exorbitant. That includes the Small Wonder, the advance, and the missions.
After you built the Small Wonder Intell. Agency, click on the pentagon-shaped thing in that city's box. It will bring up the menu. Why it is that shape I have no idea.
After a spy is planted, or for missions a diplomat can perform, click on the 'E' in the box on the bottom right hand corner of the map, and that will bring up the appropriate menu.
Remember, the BEST use for Espionage is to get them to declare war on you, since missions often fail, and if they are not at least "Polite" they might declare war.
You can also Edit the game so that some missions can be performed by Diplomats also.