SMA PLT HAD A HDG DEV ON AN IFR DEP.

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ON OCT/XA/98; I WAS ISSUED AN IFR CLRNC OUT OF LAF ARPT. I WAS TOLD TO MAINTAIN A RWY HDG OF 100 DEGS. AFTER DEP I WAS TO CONTACT ZAU ON 123.85. AT ABOUT 1200 FT MSL I CONTACTED ZAU AND NOTIFIED HIM OF MY POS AND ALT. AS I CLBED TO 2500 FT MSL; I REQUESTED PRESENT POS TO BNA. AT THAT POINT; CTR ASKED ME IF I HAD LONG RANGE NAV CAPABILITIES. I SAID THAT I DID HAVE LONG RANGE CAPABILITIES (GPS) AND HE WENT ON TO CLR ME DIRECT TO BNA UPON REACHING 5000 FT MSL. AS SOON AS I HEARD THAT; I STARTED TO TURN TO MY FIRST VOR (HUF) WHICH WAS THE WAY I FILED. I DID THAT BECAUSE I THOUGHT I COULDN'T GO DIRECT UNTIL 5000 FT MSL AND I THOUGHT I NEEDED TO NAV BY MY FLT PLAN. WHEN I WAS ON ABOUT A HDG OF 145-160 DEGS; ATC CTLR ASKED ME SOMETHING ABOUT WHY I WAS TURNING AND ADVISED ME OF TFC SOMEWHERE OFF MY NOSE 4 NM RESPECTIVELY. I TOLD HIM THAT I THOUGHT I WAS CLR TO NAV (BASICALLY) UNTIL REACHING 5000 FT MSL WHEN I CAN GO DIRECT TO BNA. ZAU PASSED A MESSAGE DOWN THE STREAM TO EVV AND ASKED ME TO CONTACT THEM. I DID. THEY SAID THEY WERE GOING TO INVESTIGATE THE SIT AND RPT IT TO THE FLT SAFETY OFFICE.