An object's default angle (0 degrees) is to the right. When you use behaviours or events to move the object it will usually move along it's angle. If your sprite doesn't point in the same direction as the angle (to the right), it will move sideways.
The blue line is the angle of the object:
<img src="https://dl.dropbox.com/u/11087850/defaultAngle.png" border="0" />
If it's set up like in image 1, the object would move along the blue line (sideways). You want it to be set up like image 2.