Corporate Turboprop Pilot reported receiving a low altitude alert from LAN Tower on approach to 10R.

Narrative

We were set up for the ILS 10R per the ATIS. We got handed off the Great Lakes Approach and they cleared us direct WIGSA for the ILS 28L approach. I put in the new approach and briefed it quickly. We were then cleared for the approach to cross WIGSA at 3000. (2500 is the normal altitude there). We crossed WIGSA at 3000; the plane turned on course but did not automatically switch to approach mode. My Copilot then manually put in course and frequency but it still did not give correct course information. During this process of my Copilot trying to set up approach; I realized we were high and initiated a 500 fpm descent using vertical speed mode; assuming that in the next few seconds the approach would capture and we could continue.During the confusion; ATC gave us an altitude deviation warning; I clicked off Autopilot and climbed to 2400 ft. from approximately 2200 ft. which is the crossing altitude at the final approach fix BURYE. We still could not get the course to indicate correctly so I requested vectors prior to reaching BURYE from ATC to go back and try it again. It was during that time; my Copilot asked them if the ILS 28L was even turned on; they then realized they had not yet turned it on. We then returned for a normal approach.Had we properly identified that the frequency was turned on; this would have not happened. Had I not left the altitude selection at 3000 ft. when I stated the vertical speed descent this would not have happened. Had ATC turned the frequency on this would not have happened.