The way I have it set up for my own purposes is:
On Z pressed:
-> Create object <bullet> at player.LayerNumber (player.X, player.Y)
-> Set <bullet> angle of motion to player.Angle degrees
The bolded part is what allows the bullet to have the correct angle and not always shoot to the right. You should be able to apply this to yours.
If that doesn't work (or if you've already done it like that), would you mind posting your .capx file?