FLC DEPARTS VFR AND ENTERS ATA MMU AND CDW.

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DECIDED TO CANCEL IFR AND DEPART TEB VFR. WE PLANNED VERY VERY WELL FOR OUR DEP FROM UNDERNEATH NEW YORK TCA IN ORDER TO AVOID AIRSPACE AND TFC. WE WOULD DEPART RWY 19; TURN L; TRAVEL AT 1300 FT TO A POINT 3450 AT 15 NM FROM TEB; THEN CLB TO 8500 ENRTE TO ELM. WE CALLED TWR SEVERAL TIMES FOR VFR DEP; BUT THEY WERE EXTREMELY BUSY AND NEVER ANSWERED. FINALLY; THEY LET A JET BEHIND US DEPART VFR; L TURN. I REMINDED TWR WE WERE READY FIRST. THEY GAVE US IMMEDIATE TKOF. WE REQUESTED L TURN. THEY SAID 'WE'LL CALL YOUR TURN'. IMMEDIATELY UPON TKOF THEY SAID 'FLY DUE W'. WE TURNED TO 270 DEG CLBED TO 1300 FT. THEY THEN SAID TO FLY TO 5 NM FROM TEB BEFORE TURNING 'NWBOUND'. THEY SAID 'FLY DUE W TO 4.5 NM FROM TEB BEFORE TURNING NWBOUND; FREQ CHANGE APPROVED'. TOTALLY UNEXPECTED AND CONTRARY TO OUR PLANNING. WE DIDN'T TURN NW BECAUSE THAT WOULD HAVE BROUGHT US THROUGH THE BUSY TEB ARR CORRIDOR. WE FRANTICALLY TRIED TO ESTABLISH RADIO CONTACT. WITH NEW YORK DEP. CHARTS FLYING EVERY WHICH WAY TO SEE WHERE OUR AIRSPACE WAS. VISIBILITY WAS HAZY. BY THE TIME I ORIENTED VISUALLY TO TERRAIN WE WERE; IN MY ESTIMATION; 4 MI E OF CALDWELL; NJ; ARPT. TRIED TO VISUALLY CIRCUMNAV CALDWELL AND MORRISTOWN. WHEN NEW YORK APCH PICKED US UP ON RADAR WE WERE TOLD '...4 MI SE OF MORRISTOWN.' ATA IS 5 SM; RADAR RING SAME NAUTICALLY; BUT 4 NM IS STILL LESS THAN 5 SM. I.E.; WE WERE IN BOTH CALDWELL AND MMU ATA'S. AFTER RADAR CONTACT WE WERE CLRED INTO TCA (CLB) AND ON COURSE -- NO PROBLEMS.