FO OF A DC9 FAILED TO ENTER AIR HOLDING AS ASSIGNED AFTER A MISSED APCH DUE TO THE CAPT SETTING A DIFFERENT FREQ FOR THE VOR THAN THAT BELIEVED BY THE FO.

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AFTER HOLDING DUE TO TSTMS WE WERE CLRED FOR AN APCH TO DTW. WE WERE VECTORED TO ILS RWY 3R WHILE SIMULTANEOUS APCHS TO RWY 3L WERE IN PROGRESS. TSTMS WERE STILL IN THE AREA; BUT ALL WERE N OF THE ARPT. AFTER INTERCEPTING THE LOC THE CAPT FELT UNCOMFORTABLE WITH THE APCH DUE TO THE WX. ACFT WERE LNDG WITHOUT ANY PROBS ON BOTH RWYS. AFTER ASKING ME HOW I FELT ABOUT THE APCH (WHICH I FELT COULD BE COMPLETED WITHOUT A PROB) THE CAPT TOLD APCH HE WANTED TO HOLD FOR 15 MINS. APCH TOLD US TO CLB TO 4000 FT MSL AND HOLD AT HURON. WE CLBED TO 4000 FT AND TRACKED THE LOC. AT THAT POINT THE CAPT CHANGED HIS NAV FREQ TO CRL WHICH WAS NEEDED TO IDENT HURON INTXN. HE THEN LEFT THE FREQ TO TALK TO THE COMPANY AND ALSO CHANGED HIS NAV FREQ SO HE COULD COMPARE THE RADAR TO FIELD DME; BUT DIDN'T TELL ME. I TURNED PRIOR TO HURON. ATC NOTIFIED US AND TOLD US TO TURN TO 270 DEGS AND CLB TO 8000 FT MSL. I THOUGHT HE HAD HIS NAV FREQ SET ON CRL. A NUMBER OF EVENTS LED TO THIS ERROR. SHORT NOTICE ON THE HOLDING; LACK OF COM; I DIDN'T DOUBLE-CHK HIS NAV FREQ. I ALSO FEEL THAT USING A SEPARATE FREQ FOR DME INFO ADDED TO THE CONFUSION. IT WAS NOT FIELD DME EITHER; WHICH WOULD MAKE MORE SENSE. IN ADDITION; ANY TIME SIMULTANEOUS APCHS ARE IN PROGRESS BOTH PLTS SHOULD BE ON THE SAME LOC FREQ MONITORING THE APCH NOT ON A NON-FIELD DME FREQ.