CL65 CREW MADE WRONG TURN AND CAME CLOSE TO MOUNTAINOUS TERRAIN.

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WE HAD RECEIVED THE CURRENT ATIS FOR SLC AND WE WERE BEING VECTORED FOR A VISUAL APCH TO RWY 34L. THE ATIS WAS CALLING THE CLOUDS AT 2900 FT SCATTERED. ATC KEPT ASKING US IF WE HAD VISUAL YET. ANOTHER ACFT TOLD ATC THEY WOULD BE UNABLE TO TAKE A VISUAL DUE TO LOW CEILINGS. ATC CONTINUED TO DSND US ON A BASE ABOUT 5 MI FROM THE ARPT. WE TOLD THEM WE COULDN'T SEE THE ARPT AND THEY GAVE US A LEVELOFF AT THE ALT WE WERE PASSING THROUGH AND A TURN. DUE TO THE CONFUSION OF THE SIT; I THOUGHT I HEARD TO MAKE A R TURN INSTEAD OF THE L TURN ATC HAD ACTUALLY SAID. I STARTED THE TURN AND THE CAPT QUERIED WHETHER IT WAS SUPPOSED TO BE TO THE R OR TO THE L. WHEN ATC SAID L; I IMMEDIATELY CHANGED THE DIRECTION OF THE TURN. THEY THEN GAVE US A CLB FROM 9000 FT TO 10000 FT; BUT I ENDED UP GOING 1/2 MI INTO A SECTOR WHERE THE MVA WAS 10000 FT BELOW THIS ALT. I BELIEVE PART OF THE PROB HERE IS ATC TRYING TO PACK ACFT INTO ARPT THROUGH VISUALS AND NOT PROVIDING THE SEPARATION FOR THE DETERIORATING WX. I ALSO BELIEVE A PROB WAS I WAS TRYING TO MULTI-TASK BY LEVELING OFF AND TURNING AT THE SAME TIME AND I LOST SOME OF THE IMPORTANT INFO OF THE CLRNC ALONG THE WAY. TO CORRECT THIS SIT; IT WOULD BE HELPFUL IF THE SAME SEPARATION WAS GIVEN FOR IFR AND VFR AND ATC ALLOWED THE PLTS TO CLOSE THE GAPS ONCE WE HAVE VISUAL BY ALLOWING US TO CHANGE OUR SPDS TO CLOSE THE GAPS. THEY NEED TO VECTOR US FAR ENOUGH OUT SO WHETHER WE SEE THE ARPT OR NOT WE CAN STILL GET CONFIGURED AND LAND WITHOUT THE WORRY OF WHAT THEY ARE EXPECTING FROM US AND THE NOT KNOWING OF WHAT THE PLAN WAS FOR THE SIT. SUPPLEMENTAL INFO FROM ACN 564565: APCH IMMEDIATELY RESPONDED WITH 'LEVEL OFF AT 9000 FT AND TURN L HDG 260 DEGS.' THE CTLR'S VOICE SOUNDED ALARMED; AND LEFT ME WITH THE IMPRESSION THAT WE WERE MUCH CLOSER THAN WE SHOULD BE TO SOMETHING. I DIRECTED MY ATTN TO THE TCASII AND RADAR SCREENS; TO ENSURE WE WERE NOT ON A COLLISION COURSE WITH ANYTHING. WE WERE DSNDING AT ALMOST 2000 FPM. THE FO (PF) IMMEDIATELY HIT ALT HOLD AND RESELECTED 9000 FT IN THE ALT SELECTOR. I WAS SCANNING THE DISPLAYS. AFTER APPROX 2 SECONDS; HE TOLD US TO CLB TO 10000 FT AND REQUESTED OUR BEST RATE OF TURN FOR 'TERRAIN.' THE FO DISCONNECTED THE AUTOPLT AND STEEPENED THE BANK TO ABOUT 40 DEGS; HAND FLYING THE AIRPLANE IN ORDER TO COMPLY WITH APCH'S REQUEST TO INCREASE THE RATE OF TURN. THE APCH CTLR AGAIN REQUESTED OUR BEST RATE OF TURN; TO WHICH I RESPONDED THAT WE WERE ALREADY DOING IT. THE APCH CTLR'S TONE OF VOICE; AND HIS REPEATED REQUESTS FOR A TIGHT TURN AND RAPID CLB; KEPT MAKING ME FEEL THAT WE WERE VERY CLOSE TO SOMETHING. AT NO TIME DURING THE INCIDENT DID I SEE ANYTHING ON OUR SCREENS THAT LOOKED LIKE AN IMMINENT COLLISION; AND BELIEVE ME; I WAS SCANNING THEM VERY REGULARLY. I FELT; HOWEVER; COMPELLED TO KEEP SCANNING THE TCASII AND RADAR SCREEN. WE GOT A VISUAL ON THE RWY AT ABOUT 300-400 FT AGL; IT WAS SNOWING ON THE FIELD WHEN WE TOUCHED DOWN AND CONDITIONS WERE DETERIORATING RAPIDLY.