Wilco737Pic Heading problem

Since i am still gettign use to the reality of the Fsx Wilco 737PIC, i have another problem im not sure how to fix.

When doing an IFR Flight, The controller will tell me to turn a certain heading, so i set the heading into the autopilot and it turns to that heading, but that heading is wrong because wehn i am at my heading i was told to go to, the controller says over and over to turn to the heading, when i already at the heading.

So i look at the Fsx map, and it says a whole different heading then what i see in the plane.

For example, the controller tells me to turn to say 190, so i set that in my autpilot and it turns to 190, but the controlelr says i not at the right heading, so i look at the map and it says somthing like 350, so then all correct that on the map but then going back to my plane, it will say im at a whole diferent heading.
It's hard to explain this problem but if someone knows how to fix this problem it would be greatly appreciated.