A C172 TRAINING FLT MAKES THE APCH TO THE WRONG RWY (RWY 35L) WHEN CLRED FOR A TOUCH-AND-GO ON RWY 35R BY CTLR AT COS; CO.

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COS HAS 3 RWYS (RWY 35L/17R; 35R/17L; AND 12/30). ATIS SHOWED RWY 30 AND RWY 35R IN USE. IN TRAINING WITH A STUDENT; WE HAD DONE SEVERAL TOUCH-AND-GOES ON RWY 30. THE TWR TOLD ME UPON DEP FROM RWY 30 TO ENTER A L DOWNWIND FOR RWY 35L (I THINK HE SAID L) AND I REPEATED BACK '; DOWNWIND FOR RWY 35L.' ON BASE; I ASKED HIM TO CONFIRM 'CLR FOR TOUCH-AND-GO; RWY 35L' BUT MY RADIO XMISSION WAS STEPPED ON. ON SHORT FINAL; HE ASKED ME WHERE I WAS; AND WHEN I ADVISED RWY 35L; HE TOLD ME 'DO NOT LAND!' I EXECUTED A GAR; WITHOUT INCIDENT; AND MADE A CLBING L TURN AND THEN DID SEVERAL TOUCH-AND-GOES ON RWY 35R BEFORE DEPARTING. TWR TOLD US TO ENTER L DOWNWIND FOR RWY 35L (I THINK; NOT SURE. HE COULD HAVE SAID RWY 35R) BUT I RESPONDED 'L DOWNWIND; RWY 35L' AND TWR DID NOT CORRECT ME. WHILE TALKING WITH MY STUDENT DURING THE LNDG PROC; I MAY HAVE INCORRECTLY HEARD RWY 35L. I WAS UNSURE AND DID TRY TO CONFIRM RWY 35L BY ASKING; BUT WAS UNABLE TO GET THROUGH. I SHOULD HAVE CONTINUED TRYING TO CONFIRM THE RWY PRIOR TO LNDG AND WILL DO THAT IN THE FUTURE IF AT ALL UNSURE.