BA3100 ACFT ON APCH DID MISSED APCH BECAUSE OF RWY NOT SIGHTED AT MINIMUMS AND IN COMMENCING MISSED APCH; FLC WAS NOT SET UP FOR PROPER PROCS WHEN ATC CTLR INTERVENED AND ISSUED TERRAIN WARNING AND ASSIGNED A HDG.

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MY THIRD FLT AS A CAPT WITH WX NEAR MY HIGH MINIMUMS (400 HRS) WHEN DISPATCHED TO ROA. I WAS ASSIGNED WITH A RELATIVELY NEW FO (9 MONTHS) TO A SPECIAL USE ARPT (IE; MOUNTAINOUS TERRAIN). WE WERE RUNNING LATE AND WHEN WE GOT TO ROA; MY FO REQUESTED CURRENT WX AT ROA. RPTED WX FROM TWR WAS 900 FT CEILING AND 6 MI. TO CONSERVE TIME WE THEN REQUESTED THE ILS RWY 33 WHICH THE WX WAS WELL ABOVE MINIMUMS. THEY WERE USING THE LDA 6 AT THE TIME WHICH WOULD HAVE REQUIRED US TO GO AROUND THE ARPT AND PERFORM A PROC TURN. ON THE ILS RWY 33 WE ARRIVED AT MY HIGH MINIMUMS (600 FT AGL; PLUS 100 FT TO PUBLISHED MINIMUMS) AND HAD NOTHING IN SIGHT. WE EXECUTED A MISSED APCH. I TOLD MY FO TO TUNE IN THE MISSED APCH FREQ OFF OF ODR VOR THE 127 DEG RADIAL. MY FO SAID IT WAS TUNED AND STATED THE 137 DEG RADIAL OFF OF ROA WAS THE PROC. I IMMEDIATELY KNEW THAT WAS INCORRECT SO I LOOKED AT THE CHART. IN THE MEANTIME I WAS TURNING L AS I KNEW WAS THE INITIAL MISSED APCH. WHILE REVIEWING THE CHART; I APPARENTLY SHALLOWED MY BANK. ATC ADVISED ME OF TERRAIN AHEAD AND GAVE ME A HDG OF 240 DEGS. WE DID NOT RECEIVE ANY GPWS WARNINGS AND I DID MAINTAIN A HIGH RATE OF CLB AND MONITORED THE RADAR ALT. WE THEN WERE VECTORED FOR THE LDA 6 WITH HIGHER MINIMUMS (464 FT AGL). WE LANDED UNEVENTFULLY. (LDA 6 APCH WAS SHOT TO MINIMUMS WHEN WE SAW APCH LIGHTS.) ONCE ON THE GND MY OPS PERSONNEL TOLD ME I WAS TO CALL TWR SUPVR. THE SUPVR ASKED ME WHAT HAPPENED. I TOLD HIM THERE WAS CONFUSION WITH MY FO. I THANKED HIM FOR HDG ASSISTANCE. WE DISCUSSED THE PROB AND HE SAID THAT THERE WOULD BE NO FURTHER ACTION TAKEN. WHEN DISCUSSING THE PROB WITH MY FO; HE SAID THAT AFTER THE CORRECT VOR FREQ FOR THE PROC WAS SET DURING THE APCH BRIEF; HE CHANGED THE FREQ TO GET DME OFF OF THE ROA VOR. HE SAID THAT WITH THE RPTED WX HE DID NOT EXPECT A MISSED APCH. WHEN THE MISSED APCH WAS BEING EXECUTED; HE WAS NOT READY AND GOT CONFUSED.