DC9 CREW CONTACTED MSO TWR WHEN THEY REALIZED APCH CTLR DID NOT ISSUE CLRNC TO CHANGE FREQS.

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CLRED FOR A VISUAL APCH BY SPOKANE APCH CTL; WE WERE MAKING A DSNDING R DOWNWIND FOR RWY 11 AS PER CHART PG 10-7F MSO. AT MIDFIELD; ABOUT 5000 FT; I (PF) NOTICED WE WERE NOT ON TWR FREQ. FO CHANGED FREQS AND RPTED OUR LOCATION. MSO TWR CLRED US TO LAND; BUT ALSO ASKED WHEN WE WERE GIVEN A FREQ CHANGE BY APCH CTL. NEITHER OF US REMEMBERS BEING GIVEN A FREQ CHANGE; BUT MSO TWR CALLED SPOKANE APCH AND WAS TOLD THAT WE WERE TOLD TO CONTACT TWR OVER THE MSO VOR AND CLRED FOR A VISUAL APCH TO RWY 11. IN POST FLT DISCUSSIONS; NEITHER PLT RECALLS BEING TOLD TO CHANGE. THAT DOESN'T MEAN WE WEREN'T GIVEN THE CHANGE. IT WAS THE FO'S FIRST TIME INTO MSO; AND THE APCH AND DSCNT CAN BE QUITE CHALLENGING. I COULD HAVE BEEN CONCENTRATING ON THIS FACT; AND HE COULD HAVE MISSED THE CHANGE TOO; BY CONCENTRATING ON THE APCH AND LNDG. VIGILANCE IS THE KEY FOR ME FOR FUTURE DEMANDING HIGH ALT ARPTS WITH AN INEXPERIENCED FO. NOTE: SPOKANE APCH CTL HAS GIVEN ME CAUSE FOR REFLECTION AND INCREASED VIGILANCE BEFORE. THEY ARE VERY LAID BACK AND ONCE GAVE ME A HOLDING CLRNC OVER KONA (IND) NDB WHICH REQUIRED 4 RADIO XMISSIONS TO GET COMPLETE INSTRUCTIONS AT THIS FIX; WHICH HAS NO PUBLISHED HOLDING PATTERN. WE ALL BACK EACH OTHER UP AND HAVE TO GUARD AGAINST COMPLACENCY. SUPPLEMENTAL INFO FROM ACN 431691: ACFT WAS ON VISUAL APCH TO MISSOULA; HAVING BEEN CLRED VISUAL APCH BY SPOKANE APCH. OUR COMPANY'S CUSTOM VISUAL APCH TO MSO INVOLVES NUMEROUS TURNS AND STEPDOWN ALTS WHEN ARRIVING FROM THE E; AND LNDG ON RWY 11. DURING THE APCH THE CAPT MENTIONED THAT WE HADN'T BEEN CLRED OVER TO TWR; SO I CALLED TWR; AND WE GOT CLRNC TO LAND. THE TWR CTLR ASKED WHEN WE WERE HANDED OVER; AND WE SAID THAT WE HAD NOT BEEN HANDED OFF; BUT INSTEAD CALLED HIM WHEN WE REALIZED THAT WE WERE IN HIS AIRSPACE. WHEN THE CAPT WENT INTO THE TERMINAL HE CALLED THE TWR; EVEN THOUGH WE WERE NOT ASKED TO DO SO. AT THAT TIME; THE TWR CTLR SAID THAT SPOKANE GAVE THE HDOF IN THE SAME XMISSION AS THE APCH CLRNC. IT WAS MY SECOND TIME DOING THIS VISUAL APCH; AND THE SECOND OR THIRD TIME FOR THE CAPT AS WELL. WE WERE BOTH PAYING CAREFUL ATTN TO THE REQUIREMENTS OF THE VISUAL APCH (TURNS AND DSCNTS). THE CAPT SWEARS HE NEVER HEARD THE HDOF; AND I'M QUITE CONVINCED I DID NOT HEAR IT AS WELL. IF A HDOF WAS GIVEN BY SPOKANE; THE HIGH DEGREE OF WORKLOAD DURING THIS VISUAL APCH (IT'S MORE COMPLICATED THAN THE ILS TO RWY 11) DISTR US ENOUGH NOT TO REALIZE IT.