B757 FLC PLANNED AND BRIEFED FOR A LOC APCH; AND THEN AT THE LAST MIN RECEIVED A VISUAL APCH PROC AND BECAME DISORIENTED.

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WAS ON IFR FLT PLAN INTO LGA FROM ZZZ. ATIS SAID; EXPECT LOC RWY 31; WHICH IS WHAT WAS PROGRAMMED INTO FMS; AND BRIEFED. ABOUT 10 MI FROM LGA; WE WERE GIVEN DIRECT LGA. AT APPROX 1 MI FROM NAVAID; WE WERE TOLD TO ENTER DOWNWIND FOR FREEWAY VISUAL RWY 31. WE INFORMED ATC WE WERE NOT SURE OF THE FREEWAY AND THAT WE WERE UNFAMILIAR. HE POINTED OUT THE VISUAL CUE AND WE TURNED DOWNWIND; HOWEVER; APPARENTLY PICKED UP ON THE WRONG ROAD. IT WAS VERY CLR WITH VERY BRIGHT LIGHTS OF CITY/ROADS. AS SOON AS WE TURNED DOWNWIND (TOO FAR); HE ISSUED VECTOR 060 DEGS; AND THEN FURTHER L TO THE RWY TO STAY CLR OF KENNEDY AIRSPACE. HE DID NOT SAY WE ENTERED KENNEDY AIRSPACE. WE WERE DISORIENTED BY THE INABILITY TO CLRLY PICK OUT THE EXPRESSWAY IN THE BRIGHT LIGHTS. AFTER LNDG; AS WE WERE DISCUSSING THE INCIDENT; WE SAW A CODED FMS ARR THAT HAS THE EXPRESSWAY VISUAL; BUT WE DID NOT SEE THIS IN THE HEAT OF THE MOMENT. ATC DID NOT HELP BY GIVING LAST MIN INSTRUCTIONS FOR THIS APCH. WE HAD BEEN ON LGA APCH FOR SEVERAL MINS PRIOR TO THE EXPRESSWAY CLRNC.