When I make a rocket or other weapon for CFS2 how do I define the effect that it uses like for example if I wanted to use a custom effect I made on a rocket I made how would I do that?

You can change the effects associated with rockets or anything else by modifying the effect file associated with that object or creating a new one.  

Open the DP file for the rocket that you want to change and you will see a list of the effects files used by that rocket.  You'll find those effects in the EFFECTS folder.  The effects files are simple text files that can be modified using Notepad, although you need to be pretty sharp to understand what is happening in them.

If you've created a new rocket effect you can direct your rockets to use it by modifying their DP file to point to it and placing the new effect in the EFFECTS folder.

Some effects, such as the rocket exhaust, are not called from the DP file.  I would guess they are addressed in the BGL file of the rocket itself but I don't know for sure.  Regardless the effect itself is still found in the EFFECTS folder and can be modified.

This is an oversimplification but the bottom line is that you can change effects.  Ghost Pony has a whole series of effect modifications that include new rocket effects.  You might check his site before reinventing the wheel.

http://theghostfiles.org/