Its up on your autopilot controls, turn autopilot master switch(CMD) on and turn the heading selector(SEL) or click on the #'s in the box to the heading you want, then push the headind hold switch (HDG) button that should keep you on cores if your not flying in strong winds that is then you get into playing aroung with the yaw an so an so forth. Hope I helped a little.
The previous reply covers heading hold - I'm guessing you still want the course hold covered for VOR and ILS approaches. I've found that if you hold your mouse over the course numerals on the main navigation panel, you get the usual plus and minus signs as you would on the heading/IAS/alt settings in the autopilot area. Adjust the course setting here instead.