You need to modify the "Angle of motion" of the bullet when its speed is superior to 0.
If the property "Set angle" of the Bullet behavior is set to yes, you will modify the current angle it's moving towards.
Be sure to check the manual to see all the properties and actions of the bullet behavior. When encountering/using a plugin or behavior you're not yet familiar with, do the same. Useful read and it let's you know the tool you can use in C2.