Jezston, I agree clipless is a little misleading given your feet are clipped to the pedals! As far as I'm aware it stems from not using toe clips, hence being termed clipless.
manualtypist, I sympathise as I found it very unnatural to ride clipless, contrary to many others who find it second nature. As I've rambled on about elsewhere on here, I eventually got it though. Do rehearse on a quiet road (I road up and down the cul-de-sac where I live) so it becomes natural. If you're not using them already, I found multi-direction SPD cleats much easier.