AS AN F27 DEPARTS FROM DFW; THE DEP CTLR STATES THAT THE DEPARTING ACFT FLT PLAN HAS BEEN MISPLACED.

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DFW TWR CLRED US FOR TKOF ON RWY 13. IN OUR TKOF CLRNC WE WERE INSTRUCTED TO 'FLY RWY HDG.' AFTER TKOF WE WERE TOLD BY TWR TO CONTACT DEP. THE FREQ ISSUED IN OUR CLRNC WAS 124.3 (BECAUSE WE WERE GOING TO DEPART TO IND -- NE). I CONTACTED DEP AND WAS TOLD TO CHANGE TO FREQ 125.2; SO I DID SO. UPON CALLING DEP; THE CTLR ASKED 'WHERE DID YOU DEPART FROM?' I REPLIED 'DALLAS FT WORTH;' AND WE WERE LEVELING 2000 FT. THE CTLR THEN BEGAN ASKING IF I WAS INSTRUCTED BY THE PREVIOUS CTLRS TO INTERCEPT AND TRACK A RADIAL. I REPLIED; 'NEGATIVE; WE'RE ON THE HUBBARD 1 HDG 130 DEGS (RWY HDG).' HE THEN SAID TURN L HDG 080 DEGS; AND INQUIRED AGAIN IF WE WERE INSTRUCTED TO INTERCEPT A RADIAL. I SAID NEGATIVE; WE WERE INSTRUCTED TO FLY RWY HDG (130 DEGS) TILL THE CURRENT CTLR ASSIGNED HDG 080 DEGS. WE THEN CHANGED CTLRS AGAIN AND WERE CLRED TO CLB. THE CTLRS THEN BEGAN ASKING ACFT TYPE; DEST; AND SO ON. THE CTLR APOLOGIZED FOR HAVING TO ASK QUESTIONS CONCERNING FLT; HE SAID; 'WE'VE LOST YOUR FLT PLAN' AND THAT IT 'MUST HAVE FALLEN BTWN THE CRACKS.' THE CONFUSION IN THE COCKPIT CAME FROM WHEN THEY BEGAN INQUIRING IF WE WERE TOLD A RADIAL TO INTERCEPT WHEN I TOLD THE CTLR OUR LAST ASSIGNED INSTRUCTION WAS TO FLY RWY HDG. THE FIRST CTLR DIDN'T INFORM US THAT OUR FLT PLAN HAD BEEN LOST. I FEEL THE COM BTWN THE LCL CTLR AND DEP HDOF WAS NOT ADEQUATE. DEP DIDN'T KNOW OUR RTE OR ANYTHING ABOUT OUR FLT. NOTE: IN OUR CLRNC PRIOR TO STARTING ENGS; WE WERE GIVEN THE DEP CLRNC OF THE 'HUBBARD 1 DEP; PARIS TRANSITION;' THE TKOF CLRNC WAS AS FOLLOWS: 'FLY RWY HDG (130 DEGS); CLRED FOR TKOF.' THIS WAS THE LAST HDG ASSIGNED BY THE LCL CTLR.