HDG TRACK DEV. NON ADHERENCE TO ATC CLRNC INSTRUCTION.

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FLT WAS SCHEDULED TO DEPART SPOKANE; WA; AND ARRIVE AT BILLINGS; MT. EITHER SPOKANE DEP OR ZSE GAVE US OUR FIRST OF SEVERAL RADAR VECTORS FOR BILLINGS. CTLR WORKING OUR FLT GAVE US MINOR HDG CHANGES ALONG OUR RTE TO GET US TO OUR DEST. WHEN WE GOT INTO ZLC'S AIRSPACE I CHKED IN AND RPTED OUR ALT. SHORTLY AFTER CHKING IN WITH SALT LAKE; BILLINGS VOR BECAME ALIVE FOR NAV. I CTRED THE NEEDLE ON MY GAUGE; TURNED R 10 DEGS AND FLEW TO BILLINGS. SHORTLY AFTERWARDS THE CTLR ASKED FOR OUR HDG. I SAID '090 DEGS.' THE CTLR THEN ASKED ME WHAT MY LAST ASSIGNED HDG WAS; I SAID '080 DEGS;' BUT WE WERE BEING GIVEN RADAR VECTORS FOR BILLINGS AND WE WERE RECEIVING IT NOW AND FLYING DIRECT. HE TOLD US THAT HE WAS UNHAPPY WITH US DOING THAT AND HE WAS GOING TO MAKE OUT A RPT ON THIS MATTER AND INFORM HIS SUPVR OF WHAT HAPPENED. I BELIEVE THAT WHEN I AM BEING GIVEN RADAR VECTORS TO A FIX; WHEN THAT FIX BECOMES USABLE I COULD FLY TO THAT FIX. THE CTLR SAID THAT I WASN'T. I ALSO THINK HE SAID THAT I WAS NOT ALLOWED TO CHANGE MY HDG IN ORDER TO FLY TO BILLINGS WITHOUT ASKING FOR HIS PERMISSION FIRST. SO I FEEL A RPT IN THE FORM OF A NASA RPT WAS IN ORDER.