FLC OF A BEECH 1900 AIRLINER; FAILED TO FOLLOW THEIR FLT PLAN CLRNC AFTER DEP CAUSING DEP CTLR INTERVENTION TO REMIND THEM OF THEIR APPROVED FLT PLAN ROUTING.

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ON MAR/XA/99 AT APPROX XX30 HRS; MYSELF AND FO DEPARTED FROM CLOVIS MUNICIPAL ARPT; NM; ENRTE TO ALBUQUERQUE; NM; ON AN IFR FLT PLAN. WE WERE OPERATING AS ACR X FLT. WE WERE GIVEN CLRNC TO ABQ AS FILED (CVN..TXO..MIERA..MIERA2..ABQ). ON DEP; WE CONTACTED CANNON APCH; CANNON AFB; NM; NOTIFYING THE DEP CTLR THAT WE COULD MAINTAIN OUR OWN TERRAIN SEPARATION FOR THE VFR CLB ON COURSE; THE CTLR REPLIED; 'APPROVED AS REQUESTED.' WE PROCEEDED TO CLB ON COURSE WITH A 300 DEG HDG OFF RWY 30 TO INTERCEPT THE TXO 270 DEG RADIAL. WE WERE THEN NOTIFIED BY THE DEP CTL SUPVR THAT WE WERE CLRED FOR A VFR CLB TO THE VOR (TXO) AND THEN ON COURSE -- NOT A CLB ON COURSE FROM CVN. WE RESPONDED BY AGREEING TO GO DIRECT TO THE VOR (TXO) AND THEN ON COURSE; HOWEVER; THE SUPVR CLRED US TO CLB ON COURSE FROM OUR PRESENT POS. NO CIVIL OR MIL ACFT WERE IN THE VICINITY DURING THIS EVENT. CLARIFICATION OF THE CLRNC AND SOME TYPE OF STANDARD PHRASEOLOGY FOR THIS TYPE OF CLRNC WOULD PERHAPS PREVENT THIS TYPE OF MISUNDERSTANDING FROM OCCURRING IN THE FUTURE.