The compass arrow points to the north, so when it is in the top right, northwest is right on top.
As someone else put it, this means you are heading northwest. If the needle is pointing northwest, your compass is broken!
Amazing how many comments there are about this though. It's a mental illusion, like "what do cows drink?"
Because then you would be traveling north east? That is, I think the point is you are looking at a compass when you are headed north west. (That make sense? Or am I otherwise just off?)