A C550 CREW CONTINUED TO ARPT WHEN TFC THEY WERE TO FOLLOW FLEW THROUGH THE LOC.

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WE WERE APCHING THE APCH TO RWY 8 FROM THE WSW TO FOLLOW A B737 COMING IN FROM THE N. UPON CALLING THE B737 IN SIGHT; WE WERE TOLD TO TURN TO 070 DEGS AND INTERCEPT LOC AND DSND TO 3500 FT UNTIL ESTABLISHED; THEN CLRED FOR VISUAL APCH BEHIND THE B737 WITH ADDITIONAL INSTRUCTIONS TO CROSS VNY ABOVE 3000 FT. ALSO INSTRUCTED AT THIS TIME TO SLOW TO 170 KTS. AT THIS TIME THE B737 WAS 2 1/2 MI AWAY AND ABOUT 1000 FT BELOW. AS WE TURNED THE DISTANCE CLOSED; SO WE LEVELED OFF AND CONTINUED TO SLOW FURTHER TO KEEP THE B737 IN SIGHT OFF THE NOSE. THE B737 ROLLED WINGS LEVEL AND CONTINUED S ACROSS THE FINAL. NOT KNOWING WHY HE DID THIS OR WHAT HIS INTENTIONS WERE; I ELECTED TO STAY ON THE LOC COURSE. THE B737 CONTINUED S FOR ABOUT 2 MI THEN MADE A L 180 DEG TURN TO REINTERCEPT FINAL. APCH TOLD US TO CONTINUE AS #1 AND CONTACT THE TWR. TWR CLRED US TO LAND AND ASKED IF APCH HAD POINTED THE B737 OUT TO US AND WE ACKNOWLEDGED THAT THEY HAD. 2 PROBS: 1) ATC VECTORED US TOO CLOSE; AND 2) THE B737 DIDN'T EXPLAIN HIS DEV. NOT KNOWING HIS INTENTIONS; WE ELECTED TO CONTINUE DIRECTLY TO THE ARPT RATHER THAN FOLLOW AN ACFT WHOSE INTENTIONS WERE UNCLR.