Note the course is calculated using GPS position so you must be moving for it to calculate your course the compass module is not used.
ShipCompass is a great app for boating it gives you a nice big easy to read compass along with speed in MPH,Km/H and Knots plus latitude,longitude and altitude.
*For iPhone 3G and 3GS firmware (3.0) and above Only* If you get this app and it doesnt work you most likely need to upgrade your iphone. Or you installed it on an iPod touch which will not work!