Did a trainer fit it for you or did you fit it yourself? Proper fit is essential!!! Also, lots of treats.
Gentle Leader also makes the Easy Walk harness. I added blaze orange fleece to the O-rings at the shoulders to keep it from rubbing. Fit is important for it too, but not nearly so much as the head halter.
ANY collar/halter/harness will result in the dog pulling IF you let them. The key is consistency (watch the GL DVD several times if you have to). Never keep moving while the leash has ANY tension on it. That just rewards the dog for pulling. Always stop and get the dog's attention to loosen the lead before moving on. Most owners have dogs who pull because they continue to pull on their dogs!
As for people remarking on it being a muzzle, tell them that it works like a horse halter. You wouldn't dare walk a horse with just a collar; with some dogs you just need the extra help to get physics on your side!