DURING A PLT TRAINING FLT; AN ILS APCH WAS STARTED PRIOR TO BEING CLRED FOR THE APCH BY ATC.

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ON STUDENT TRAINING FLT MISCOM BTWN PIT AND US. THEY TOLD US RWY 10 WAS IN USE AT AGC AND TOLD US TO EXPECT ILS RWY 28 AT AGC. THEY VECTORED US FOR THE APCH. UPON VECTORING US MY STUDENT AND I WERE DISCUSSING IF WE WERE TO SHOOT THE ILS RWY 28 OR RWY 10; SINCE THEY SAID 10 WAS IN USE BUT TO EXPECT ILS RWY 28. WE STARTED INTERCEPTING THE LOC AND STARTED TO DSND. WE WERE GETTING REVERSE SENSING. I CHKED THE ATIS AND IT SAID RWY 28 ILS IN USE BUT THEY MUST HAVE SWITCHED OVER TO RWY 10. WE STARTED TO DSND AND I DON'T THINK WE WERE CLRED FOR THE APCH. WE STARTED ON THE RWY 28 APCH SINCE THE ATIS WAS SAYING IT WAS AND THE NEEDLE STARTED TO COME IN. BUT I THINK WE WERE SUPPOSED TO SHOOT THE ILS RWY 10. WE QUESTIONED PIT AT THAT POINT AND RECEIVED ADDITIONAL VECTORS AND WENT FROM 2500-3000 FT MSL; TO BE VECTORED FOR ILS RWY 10. TO CORRECT THE SIT FROM HAPPENING AGAIN; QUESTIONING PIT FROM THE START; WHEN THEY SAID EVERYONE WAS LNDG ON RWY 10 AND HE TOLD US TO EXPECT ILS RWY 28. WE SHOULD HAVE MAYBE REALIZED THAT THE ATIS INFO WAS OLD AND NOT TRUSTED IT EITHER. WE SHOULD HAVE DOUBLE-CHKED WITH COM.