A flight crew departed HPN and did not follow the Westchester Departure procedure because it was not included in the initial PDC clearance.

Narrative

On climbout from HPN we did not fly the Westchester Departure because I did not believe it was assigned. After takeoff the HPN Tower instructed us to start a right turn and contact Departure Control. I knew something was wrong because we had not been assigned a heading; so I immediately told Departure Controller that we were in a 'tower instructed' right turn and needed a heading. He assigned 360 and we continued to that heading. The Departure Controller said we should have been flying the Westchester departure procedure. I responded that it was not assigned. He felt strongly that it must have been assigned. We were vectored and passed to the next controller. I received the ATC clearance via PDC for departure from HPN. I wrote down the clearance and re-reviewed the narrative on the FMS screen to confirm I had not missed any parts of the clearance. The clearance was not 'as filed' and required a chart search to determine where the route changes were. I entered the clearance into the FMS. I expected to be assigned the Westchester departure; so I had it out and ready for use. During our brief my PIC asked me if that departure was assigned. I replied no. I attempted to re-look at the PDC message when we re-powered up the plane; but the message was gone. We were operating out of our normal routine having to burn fuel to accommodate two crewmen that we were to carry to our destiantion. I could have broke the chain and prevented this at 3 points; the call to confirm the squawk; the takeoff clearance; and when we were suspicious about the departure procedure. When in doubt about the clearance call and ask.