BE400 DEP FROM MTN CAUSES ATC CONCERN BECAUSE OF CLB PROFILE AND TURN RATE.

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ON THE MORNING OF MAY/FRI/03; WE WERE DEPARTING FROM MARTIN STATE ARPT (MTN) AT XA41 LCL. MTN TWR ISSUED US AN IFR CLRNC TO VRB. IN THE CLRNC WE WERE INSTRUCTED TO CLB TO 2000 FT AND TURN L TO 190 DEGS. TKOF WAS ON RWY 33. WX WAS IFR. BOTH MY COPLT AND I WROTE DOWN OUR CLRNC AND REVIEWED IT PRIOR TO TKOF. WHEN CLRED FOR TKOF; WE DEPARTED NORMALLY; CLRED UP THE ACFT AND WERE CLBING ABOUT 1500-2000 FPM; AT 200 KTS. AS SOON AS THE ACFT HAD ITS GEAR AND FLAPS UP (ABOUT 600 FT); I BEGAN A L TURN FROM 330 DEGS TURNING TO 190 DEGS. WE WERE IMC. TWR TOLD US TO CONTACT DEP. WE WERE STILL CLBING AT ABOUT 1500 FT; WHEN WE CONTACTED DEP. THE CTLR WAS TOLD WE WERE WITH HIM OFF MTN CLBING TO 2000 FT. IN A PANIC TYPE VOICE HE INSTRUCTED US TO CLB IMMEDIATELY TO 3000 FT AND WHY WEREN'T WE ON A 190 DEG HDG YET. HE TOLD US TO TURN FURTHER TO 150 DEGS AND THAT AT 2000 FT WE WERE BELOW THE MDA. WE DID AS HE INSTRUCTED. HE ALSO SAID WE WERE 5 MI FROM THE ARPT AND THIS WAS A MAJOR DEV. WE FLEW AS CLRED; WE DIDN'T GET ANY GPWS WARNINGS AND I CAN'T BELIEVE WE WERE 5 MI FROM THE ARPT WHEN THIS OCCURRED. I DON'T KNOW WHO GOT COMS WRONG; BUT OBVIOUSLY DEP DIDN'T EXPECT US WHERE WE WERE.