Hello;
Most tx's and gyros have the option of allowing you to set up your gyro on a dedicated screen (gyro screen) on the tx. Most are required to use aux 2 port for the single wire, gyro signal wire. This is the easiest, however you can also use the gear port on the rx. Of course you must have a 6 or more channel rx to use these options.
You are probebly seeing your servo responding to the gyro's head lock setting as John responded above. In order to change this and make the servo operate llike a normal servo for your mechanical setup, you will need to drop the servo's gain below 50% in order to put it into rate mode where the servo will act normal again. I recommend 30% to be sure you are in rate mode.
Adjust your arm so it is 90 degrees to the servo case. You must have your sub trims and manuel trims centered. Use no sub trim on your rudder channel as your gyro will think it needs to make a correction. Then adjust your tail pushrod length to allow your tail pitch slider to be in the center of your output shaft or with a shade of right to correct for torque. Then test hover your heli still in rate mode and see if it drifts or not. If so adjust the pushrod untill it no longer drifts (in no wind or directly into the wind). When you acheive this you have the mechanical setup finished. Then change your gain to around 65-70% to start. This puts it back into head lock. Test hover and if it wags left and right, reduce the gain untill it stops. This is the correct setting for your heli/gyro. If it still won't hold, increase the numbers untill you get the wag and back it off just untill it stops.
Head lock is where most people fly. It allows the heli to maintain a heading reguardless of wind or load from you during a manuever.

Hope this helps;

Rick@Heliproz