BE350 CREW WAS ISSUED A LAST MIN HOLD. THEY ENTERED THE HOLD IN A NONSTANDARD MANNER.

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ADVENTURES ON THE NON HOLDING SIDE. CAPT WAS MANIPULATING AUTOPLT AND A DSCNT IN ACTUAL IFR WX AND RAIN WAS USED INTO DTS. AWOS WIND WAS FAVORING AN RNAV APCH SO FMS WAS SET UP ACCORDINGLY. WHEN APPROX 12 MI FROM CEW; A HOLD CLRNC WAS ISSUED TO OUR ACFT. THE FMS HAD TO QUICKLY BE REPROGRAMMED FOR THE IMPENDING HOLD WHICH WAS 'HOLD NW OF CEW ON THE 309 DEG RADIAL; L TURNS; MAINTAIN 5000 FT; EFC AT XA00Z.' THE FO'S HSI WAS TUNED TO CEW AND SET ON THE 309 DEG RADIAL. THE HOLD WAS ISSUED 12 NM NE OF CEW. WHEN THE FMS FAILED TO COMMAND THE AUTOPLT TO INTERCEPT AND ENTER THE HOLD VIA A PARALLEL ENTRY THE AUTOPLT WAS DISENGAGED AND THE ENTRY WAS ACCOMPLISHED BY HAND. BY THIS TIME WE WERE 2 MI PAST THE FIX (CEW) AND TURNING TO INTERCEPT (CLRLY ON THE NON HOLDING SIDE) WE CAPTURED THE 309 DEG RADIAL OUTBOUND AND THEN IN HASTE A L TURN WAS EXECUTED BY THE PF. THIS WAS ANOTHER JOURNEY INTO NON HOLDING AIRSPACE. ONCE WE REMOVED OUR HEADS FROM OUR REAR AND GOT HEADED INBOUND TO CEW; EGLIN APCH TERMINATED HOLDING AND VECTORED US TO THE FINAL APCH COURSE FOR RNAV RWY 14 AT DTW. CLRLY PRIOR NOTIFICATION OF AN IMPENDING HOLD WOULD HAVE PUT US AWARE OF THE POSSIBILITY AND PREPARED US FOR HOLDING. ATC ISSUING A SPD REDUCTION SOME 50 MI OUT WOULD HAVE AVOIDED THE DILEMMA ENTIRELY. I HAVE LEARNED NOT TO SECOND-GUESS ATC; BUT MANY THINGS HERE BIT US: UNFAMILIAR FMS; NO PRIOR INDICATION HOLDING WAS HEADED OUR WAY; RELIANCE OF FMS WHEN WE KNOW BETTER.