NON ADHERENCE TO ATC PROC IN HDG TRACK DEV ON SID DEP IN DESIGNATED MOUNTAINOUS TERRAIN.

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WHILE TAXIING FOR DEP AT SDL; I REQUESTED THE PNF BRIEF THE DEP. HE STATED IT AS RADAR VECTORS FOR THE XY SID AND SET UP THE 'Z' RADIAL OF THE VOR. WE COMPLETED THE TKOF CHK AND WERE CLRED FOR TKOF AND AFTER DEP; I FLEW RWY HDG. WE WERE HANDED OFF TO DEP CTL. UPON CONTACT WE WERE TOLD TO MAINTAIN 4000 FT AND POINTED OUT TFC IN 2 SEPARATE LOCATIONS. WE WERE NOW APCHING SOME RATHER HIGH TERRAIN AND WERE ASKED TO SAY ALT AND WERE CLRED TO 5000 FT. SHORTLY AFTER WE WERE AGAIN ASKED TO SAY ALT; AT WHICH TIME WE SWITCHED TRANSPONDERS; AS THEY WERE NOT RECEIVING OUR MODE C. WE WERE NOW APPROX 10 MI FROM THE ARPT AND HAD CLRED THE TERRAIN WHEN WE WERE ASKED WHERE WE WERE GOING; WE WERE SUPPOSED TO BE FLYING A 260 DEG HDG. WE WERE THEN GIVEN A 180 DEG HDG AND CONTINUED THE CLB WITH NOTHING FURTHER SAID. AFTER REVIEWING THE CLRNC; WHICH I HAD TAKEN; IT READ VECTORS FOR THE DEP. WHETHER IT WAS READ BACK THAT WAY OR WAS WHAT I EXPECTED TO HEAR; I DON'T KNOW. HOWEVER; IT POINTS OUT THE NEED FOR A THOROUGH BRIEFING WITH BOTH PLTS PARTICIPATING AFTER REVIEWING THE DEP IT IS OBVIOUS WITH THE HIGH TERRAIN THE REASON FOR THE 260 DEG HDG.