But my VOR display needle wont appear to swing to the course of the station.
edzmen - I think that you're mixing the VOR up with the RDF (Radio Direction Finder).
With the VOR, you rotate the dial (button marked 'OBS') until the dial shows the course on which you want to approach the VOR; the instrument will then fly you to that course and follow it. Just make sure that you have 'NAV' and not 'HDG' set on the autopilot.
If you want to fly straight to the VOR, just turn the instrument until the vertical line on the instrument is straight up. The only thing to be careful of is not to set the 'back bearing'; make sure your direction is roughly right or the VOR will start flying you AWAY from the station (it's designed to be able do that too if you want it to

).
On the Cessna I don't think the 'flag' is relevant to the VOR; I think it refers to the ILS Glideslope, which appears on the same dial when you're tuned in to the ILS.
Sounds a bit complicated but you'll soon get the hang. Full instructions, info, and photos etc. in the 'Learning Centre', under 'VOR, Using'.