Intercept course, or interception course, is a term used in warfare of all kinds: ground, air, and sea. It refers to moving in a direction towards where the enemy is heading, instead of where the enemy is.
"Plot an intercept course on that vessel. She's moving east by southeast at a rate of 30 knots per second."
"We'll be trailing behind them if we don't make an interception course. Aim for the direction where they are going."