To expand on what Patrick said, there's two heading modes in the 757 MCP.  SEL and HOLD.  SEL is what you're looking for, it selects the heading from the above number, and is enabled by right clicking the SEL marking on the top of the heading set knob.  HOLD on the other hand instructs AP to hold the present heading, regardless of what the indication is on the MCP.

This is handy for a few reasons.

1) If you know what your next turn will be, you can press HOLD to lock the plane to the present heading, and then dial in the next heading, and when time to turn, you can then click out the SEL mode from the knob to effect the turn.  My advice would be after you've achieved the requested heading, switch back to HOLD.

2) when on approach, before intercepting the localizer, use the HOLD mode to hold your present heading to receive positive indication that APP mode has taken roll authority by extinguishing the HOLD indicator.

Hope it helps! ;)