MLG IS CLRED FOR A VISUAL APCH TO ALB BUT BEGINS APCH TO SCH INSTEAD.

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DSNDING INTO ALB FROM THE WSW; WE WERE BEING RADAR VECTORED BY APCH CTL FOR A VISUAL APCH TO RWY 19 AT ALB. W OF THE FIELD WE DSNDED THROUGH A SOLID LAYER OF CLOUDS AND BROKE OUT AT APPROX 3500 FT MSL OBSERVING; AT OUR 10:30 POS AT APPROX 3 MI; WHAT APPEARED TO BOTH THE COPLT AND MYSELF TO BE ALB ARPT BASED THE RWY CONFIGNS. AT THE SAME TIME; APCH CTL ASKED IF WE HAD ALBANY IN SIGHT AND GAVE ITS RELATIVE POS FROM OURS BUT I COULD NOT HEAR WHAT IT WAS BECAUSE THE COPLT INTERRUPTED. THE COPLT ANSWERED IN THE AFFIRMATIVE AND APCH CTL CLRED US FOR A VISUAL APCH TO RWY 19 WITH A R BASE AND INSTRUCTED US TO CONTACT THE TWR. SINCE WE WERE PASSING S OF THE ARPT HDG E; I ASKED THE COPLT TO CONFIRM WITH THE TWR A R TFC PATTERN BECAUSE OUR POS MADE A L PATTERN SEEM MORE REASONABLE. THE COPLT MISDIALED THE TWR FREQ SEVERAL TIMES SO I MADE A DSNDING TURN TO THE NW TO MANEUVER FOR A R BASE TO FINAL. UPON FINALLY CONTACTING THE TWR; THE CTLR ASKED OUR HDG AND STATED THAT WE WERE MANEUVERING FOR SCHENECTADY COUNTY ARPT; ISSUED A CLB TO 2500 FT MSL AND GAVE ADDITIONAL VECTORS TO FINAL AT ALB. SEVERAL THINGS CONTRIBUTED TO THE PROB. FIRST; UPON RECEIVING RADAR VECTORS FOR THE APCH; I TUNED THE #1 VOR TO THE ILS FOR RWY 19 IMMEDIATELY WITHOUT CHKING MY POS WITH RESPECT TO ALB. SECONDLY; BUT RELATED TO THE FIRST; I DID NOT HEAR APCH CTL'S STATEMENT CONCERNING OUR POS WITH RESPECT TO ALB DUE TO COM WITHIN THE COCKPIT. I SHOULD HAVE DIRECTED THE COPLT TO HAVE THAT PART OF THE XMISSION REPEATED. THIRDLY; I SHOULD NOT HAVE ACCEPTED THE VISUAL APCH CLRNC AS QUICKLY AS I DID BUT SHOULD HAVE ALLOWED APCH CTL TO VECTOR THE ACFT FURTHER WHICH WOULD HAVE BROUGHT US CLOSER TO ALB. FINALLY; ALTHOUGH I WAS AWARE THAT SCHENECTADY ARPT WAS NW OF ALB ARPT; THE COPLT WAS NOT AWARE OF IT AND I SHOULD HAVE INCLUDED THIS IN OUR APCH BRIEFING.