INSTRUCTOR WITH STUDENT PRACTICING VOR APCH FAILS TO HOLD AFTER MISSED APCH. FLT PLAN CONFUSION ADDED TO THE PROB.

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WE WERE SCHEDULED VIA IFR FLT PLAN TO DO A VOR APCH INTO TELLURIDE. WE PROCEEDED TOWARDS CONES; AND WERE CLRED FOR THE APCH. I ADVISED ZDV WE WOULD BE PICKING UP AN IFR FLT PLAN ON FILE TO PUEBLO AFTER COMPLETION OF THE VOR APCH. AFTER TURNING BACK TOWARDS CONES AND CLBING UP TO 14000 FT; I ATTEMPTED TO CONTACT ZDV. I COULD HEAR DENVER; BUT THERE WAS NO RESPONSE TO MY RADIO CALLS. I THEN PROCEEDED TOWARDS BLUE MESA VOR; CLBING AROUND CUMULUS BUILD-UPS TO 17000 FT; REATTEMPTING TO CONTACT ZDV. AT THAT POINT; HE ASKED WHERE I WAS GOING AND WHAT ALT I WAS AT. HE POINTED OUT I SHOULD HAVE BEEN HOLDING AT THE CONES VOR. HE ALSO ADVISED ME I HAD NO IFR FLT PLAN ON FILE; AND THAT I SHOULD CONTACT DENVER RADIO TO FILE. THERE WAS QUITE A BIT OF CONFUSION AT THIS POINT; AS I ATTEMPTED TO REACH DENVER RADIO. IT HAD BECOME APPARENT THAT FLT SVC HAD TRANSPOSED THE N ABCD INTO N ABCE; THUS ELIMINATING OUR FLT PLAN AS N ABCD. FINALLY; HE GAVE US THE FLT PLAN TO PUEBLO. I ASSUMED AFTER THE APCH; HE WOULD GIVE US OUR IFR FLT PLAN TO PUEBLO. I SHOULD HAVE HELD AT CONES VOR INSTEAD OF PROCEEDING TO BLUE MESA. I COULD HEAR THE AMOUNT OF TFC AT TELLURIDE DEPARTING IFR; AND THE NUMBER OF IFR ARRS. I THOUGHT HE WOULD WANT ME OUT OF THE CONES VOR AREA ANYWAY. MY ALT OF 17000 FT AND PROCEEDING TO BLUE MESA SHOULDN'T HAVE HAPPENED. WITH THE CUMULUS BUILD-UPS IN THE AREA; I SUPPOSE I WAS ANXIOUS TO GET OUT OF THE AREA AND PROCEED TOWARDS PUEBLO. I WAS SITTING IN THE R SEAT WITH A STUDENT IN THE L.