UNAUTH PENETRATION OF CLASS D AIRSPACE.

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MYSELF AND ACCOMPANYING CFII-MEI DEPARTED MARATHON; FL; AT ABOUT XA35 LCL AFTER FILING AN IFR FLT PLAN WITH MIAMI FSS ON THE GND. THE PLAN WAS FILED OUT OF KEY WEST; IFR TO MELBOURNE; FL; VIA V225 VRB U3. IN REMARKS; I PUT 'AIR PICKUP IN KEY WEST.' OUR PLAN WAS TO CRUISE DOWN THE KEYS TO KEY WEST AT 1500 FT; THEN PICK UP OUR IFR TO MLB. AS WE APCHED KEY WEST; ABOUT 10 MI FROM THE NAS (NAVEL AIR STATION) WE DIALED UP APCH FREQ ON THE APCH CHART -- THE CFI WAS HANDLING THE RADIO - HIS INITIAL CALL (ON 124.40) WAS 'KEY WEST; SEMINOLE. XXXX.' THE CTLR'S RESPONSE WAS SEMINOLE-X SQUAWK XXXX. WE WERE WAITING FOR A 'RADAR CONTACT' AND SUBSEQUENT CLRNC. INSTEAD; THE CTLR STATED 'ALL VFR ACFT CONTACT APCH ON 119.XX.' SINCE WE WERE EXPECTING AN IFR CLRNC (ALTHOUGH WE HAD NOT SAID IFR; THE IMMEDIATE SQUAWK WAS CONFUSING.' AFTER A MIN OF DISCUSSION IN THE COCKPIT; WE SWITCHED FREQ AND ASKED THE NEXT CTLR. THAT CTLR STATED THAT THE OTHER FREQ; 124.40 WOULD BE THE FREQ FOR IFR PICKUP. WE SWITCHED AGAIN; AND RESPONDED; 'SEMINOLE-X.' THE CTLR; IMPATIENT THIS TIME; SAID; 'ALL VFR ACFT CONTACT APCH ON 119.XX.' WE THEN STATED THAT WE WANTED TO PICK UP OUR IFR CLRNC TO MELBOURNE.' THE CTLR THEN WENT AND RETRIEVED OUR CLRNC; ISSUED A NEW SQUAWK; AND WE WERE ON OUR WAY. THE PROB WAS THAT BY THIS TIME; WE WERE ABEAM KEY WEST INTL AT 2000 FT. THERE WAS A BROKEN LAYER OF CLOUDS AT 2500 FT THAT PROHIBITED A CLB TO AVOID THE AIRSPACE. I BELIEVE WE ENTERED THE CLASS D OF BOTH THE NAVEL AIR STATION AND THE INTL. I THINK THAT IT WOULD NOT HAVE OCCURRED IF WE HAD STATED THAT WE WANTED TO PICK UP AN IFR CLRNC ORIGINALLY AND THE CTLR HAD NOT ASSUMED THAT WE WANTED VFR ADVISORIES. IN THE FUTURE; I WILL BE SURE TO SAY THAT WE HAVE AN IFR FLT PLAN ON FILE (WE WERE WITHIN 5 MIN OF THE FILED TIME OF DEP WHEN WE CONTACTED KEY WEST APCH). ALSO; THE CTLR SHOULD HAVE SAID; 'SQUAWK XXXX FOR VFR ADVISORIES.' THAT WOULD HAVE MADE CLR WHAT THE SQUAWK WAS FOR.