Warning: You might not want to read this answer unless you have already read on a bit in the story from this sentence, as this might spoil some things for you.
You are correct that the phrase means more-or-less that Voldemort thought about something in the north. In context, this is a reference to Hogwarts. Hogwarts is often described as being north (e.g. when they ride on the train). At this point in the story Voldemort – and Harry through Voldemort's mind – is piecing together clues towards the Elder Wand. While Harry had been trapped in Malfoy Manor, Voldemort had been interrogating Grindelwald, a previous owner of the wand. He realized that Dumbledore had won the wand from Grindelwald and therefore he would need to take it from Dumbledore. Dumbledore was buried at Hogwarts, so upon dealing with his minions back at Malfoy Manor he directed his attention towards the next goal – retrieving the wand from Dumbledore's grave.
Thus he turned his thoughts northward, that is towards Hogwarts and specifically towards claiming the Elder Wand from Dumbledore's grave.