Hello,

I don't know if this bug has been reported yet (I don't find that)

1. Product name and version?
B757 V2.0 Pro Pack
2. Download or a box?
Download 
3. MSFS version?
FS2004
4. MSFS Service Pack version?
9.1
5. What exactly doesn’t work or works wrong? (screenshot required for all graphics related issues)
Can't engage the HDG mode when I leave the LNAV
6. When it happens?
All the time
7. How exactly do you think it supposed to work? To ensure accuracy of proposed data all numbers (EGT, FF, V, N% etc) must be supported by reference quotes (scan or a table) from a real flight manual even if you are the type rated pilot.
On LNAV mode, the PA follow the "Maganta" route, If ATC ask you to take for exemple the heading 270 you set it on the MCP HDG and press HOLD (normally it's a bit diffrent on real 757) but I can't do it ! The plane keep the maganta route...

8. What is your system? (OS, video card , RAM, CPU, Sound Card)
8800GTX x2, Windows Vista, 2 GO, Dual Core 6700

Yes you have to apply a right clik over HDG switch!