You're not doing anything wrong. EZ clubs were introduces, a while back, to help players learning the game for the first time. Personally, I don't think those clubs do what was intended...but if you insist on using them, keep in mind that they have very poor precision...and that's why they don't go very straight. In order to hit the ball straighter with EZ's, you'll need to use less power...but you will sacrifice distance.
IMO, the EZ clubs do have a place, as they are good for players with poor hand eye coordination that might not be able to play this game any other way. Otherwise, it might be best to begin using the Starter clubs as they have the meter that all the other clubs in this game are based on.
Joey