The course is where you want to go (for example due North), but if you are sailing or flying, you cannot go due North, you have to take things like wind and current into account, so your either adjust your heading (direction) so that you will make your course, or when sailing (sails), you will generally zig-zag, constantly changing your heading to sail either side of the wind - a sail boat cannot sail close than about 45° to the wind (leaning over and "pinching" into the wind allows the boat to get between 35° and 30° to the wind direction, but isn't comfortable for passengers, so is more for racing).

If your intended course is due north and you have a crosswind, you might actually take a heading of 340° or 350°, instead of 0° (or 10° or 20° if the wind is coming from the other side) in order to actually make your course.