You need to research the Technology to travel between star systems in the non-military tech tree of each respective race. It should show a picture of a phase jump and a small star in the background.
Note: after you research this tech you can only jump to other star systems from the star of a star system. So move your fleet to the star of whatever system they are in and then choose another star as there destination. They will then jump to that star in that solar system.
