Let me share a story (you could even get real spiritual and call it a parable if you like).
I was watching National Geographic on TV. Due to overcrowding in some zoos, there were a number of monkeys that had been bred in the zoos that were going to be taken and released in the wild.
The scientists loaded them all up, flew them to the Amazon (what would have been their natural habitats) set all their cages out in the middle of the jungle, and opened up the doors to all the cages. They had set the monkeys free.
To their surprise (and dismay) the monkeys all sat in their cages and wouldn't come out. You see, the monkeys had been born in a cage, had lived their whole lives in a cage, and didn't know anything BUT a cage. Even though the doors were all wide open and the monkeys were 'set free' the monkeys had no idea of how to be free.
The scientists began putting food just outside the doors of the cages. The monkeys would go to the door, reach their hand out to get the food, then retreat further back into the cage to eat. By gradually moving the food further and further away from the cage, the scientists were gradually able to get the monkeys to come out of the cage to get their food-- but as soon as they heard a strange noise, or something frightened them they ran right back into their cages (which was their 'safety zone'). This process went on for months, with the scientists gradually moving the food further and further away until finally one day the monkeys never came back to their cages. When were the monkeys set free? Day one. When were the monkeys actually free? When they finally learned what freedom meant.
This is how it is for us as Christians. We were born in the bondage of sin and that's all we know. We have patterns of thought, patterns of action, etc. that keep us in bondage-- but we don't know anything different. When we come to Christ, for the first time the door to the cage is open-- but we don't know HOW to be free yet.
Jesus said "If you continue in my Word, then you will be my disciples indeed. And you will know the truth and the truth will make you free". The key is to continue. We are all "set free" when we first come to Christ, but it is the process of continuing in His Word that 'makes' us free-- that teaches us what freedom is and how to live in light of the freedom we have in Christ. And throughout this process, Christ has designed it so that we, His Body, minister to one another and help each other come to know what that freedom means.