A GLF2 CREW; DEPARTING SLC; MISINTERPRETED THE SID; STARTING A TURN TO THE E PREMATURELY.

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THERE WAS SOME APPARENT CONFUSION IN THE WAY WE EXECUTED OUR CLRNC UPON DEP FROM SLC INTL ARPT ON FEB/SAT/02. TAKING OFF TO THE N ON RWY 35 OUR CLRNC READ; 'SALT LAKE 8 DEP TO INTERCEPT THE SLC 094 DEG RADIAL; TO THE MTU 303 DEG RADIAL; TO MTU; THEN AS FILED.' HAVING DEPARTED SLC NUMEROUS TIMES BEFORE WE KNEW THAT; WHEN TAKING OFF TO THE N; ONE DOES NOT NORMALLY MAKE AN IMMEDIATE R TURN DUE TO THE RAPIDLY RISING MOUNTAINOUS TERRAIN. HOWEVER; WITH THE EVENT IN PROGRESS; THE CREATION OF NUMEROUS TEMPORARY RESTR AREAS; AND OTHER SECURITY CONCERNS; WE ASSUMED THE CLRNC WAS DESIGNED TO KEEP US FROM OVERFLYING SOME SENSITIVE AREA OR FUNCTION. ONCE AIRBORNE WE FLEW THE 340 DEG HDG AS CALLED FOR ON THE SLC 8 DEP; UNTIL INTERCEPTING THE SLC 090 DEG RADIAL THEN TURNED R TO FLY OUTBOUND ON IT. DEP CTL QUICKLY QUESTIONED US AS TO WHY WE WERE TURNING AND INSTRUCTED US TO TURN BACK TO A 310 DEG HDG; WHICH WE COMPLIED WITH IMMEDIATELY. I WAS THE PIC OF THE ACFT AT THE TIME OF THE OCCURRENCE. I BRIEFED THE DEP; HOW WE HAD IT SET UP IN THE COCKPIT; AND HOW I INTENDED TO FLY IT. THE FO AND I CONCURRED AND I ATTEMPTED TO FOLLOW THE PROC EXACTLY AS WE HAD BEEN CLRED. I FEEL THAT WE; THE FLC; WERE LED INTO A POTENTIALLY HAZARDOUS SIT DUE TO THE FACT THAT THE TWR AND DEP CTL WERE NOT SPECIFIC IN WHAT THEY EXPECTED OF US. IF THEY DID NOT WANT US TO FLY THE CLRNC AS COPIED AND READ BACK TO THEM WE SHOULD HAVE BEEN ADVISED OF THAT WHEN WE WERE CLRED FOR TKOF. A SIMPLE 'FLY RWY HEADING UNTIL ADVISED' WOULD HAVE BEEN SUFFICIENT.