CORP ACFT ENCOUNTERS WIND SHEAR ON ILS APCH IN IMC. EXECUTES MISSED APCH. CLBS ABOVE MISSED APCH ALT.

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FO FLYING ACFT FROM L SEAT. ON ILS APCH TO RWY 16 AT KHPN; ENCOUNTERED CONTINUOUS MODERATE; OCCASIONAL HVY TURB. INS WINDS 45 KTS FROM SW AT 1000 AGL. WIND SHIFTED TO SE AND DROPPED TO 10 KTS. RAPID DEVS OF 1.5 DOTS ABOVE AND R OF ILS PATH. I CALLED FOR MISSED APCH AND FO WENT INTO IT. AS I CAME BACK TO SCAN FROM CONFIGN ITEMS AND MISSED APCH CALL I SAW ALT GO THROUGH 2600 MSL. MISSED ALT IS 2000 AND FO NOT YET TURNED TO 090 DEG HDG AS PER PLT NAV MISSED PROCS WHICH TWR ASSIGNED. AFTER GETTING FO INTO TURN. I CALLED NY DEP AND WAS TOLD I HADN'T BEEN HANDED OFF; BUT TOLD TO STAY WITH THEM. FO SETTLED IN AND WE SET UP AND FLEW TO ALTERNATE IN ROUTINE LEG. APCH BRIEF WAS GOOD; BUT FO DID NOT FLY IT OR REARM FLT DIRECTOR MODES. I SHOULD'VE MADE TIME TO MONITOR/HELP. I FOUND OUT FO HAD NEVER DONE AN ACTUAL IMC MISS! COCKPIT LOAD CONTRIBUTED TO ATC MISCOM. ACFT YAW DAMPER WAS KNOWN TO BE NOT WORKING CORRECTLY; ESPECIALLY IN TURB. UNDUE ATTN REQUIRED FOR ACFT CTL. AS SHEAR OCCURRED AND DEV WENT OVER A DOT FOR LOC AND GS. FO TRIED TO FLY THROUGH IT. WE DEBRIEFED ABOUT 'GETTING OUT OF THE WINDOW' IN A TIMELY MANNER AND FLYING WHAT YOU BRIEF! A BUSY TIME ON A DARK AND STORMY NIGHT!