GIV First Officer describes crew errors and lack of understanding by a WRI Approach Controller; after he issues holding instructions with the aircraft one mile from the fix.

Narrative

During decent/approach phase of flight we were given a direct to RBV VOR by ZNY Center. We were then handed off to the Military Controller who told us he had bad news for us. He said that TEB just closed and wanted to know our intentions we told him to give us a minute to discuss with our company and we will let him know ASAP. Without waiting he then told us to hold as depicted at the RBV VOR as we were within about 1 minute from the VOR. My FMS had already started a smart turn when I was entering the hold in the box. Needless to say the FMS would not accept the hold during the flyby of the VOR. We were in moderate turbulence; moderate to heavy rain; snow and some icing approximately 4000 MSL at night and doing 240 KTS. Our FMS's were operating independently and we did not have the chart out by that time. The Controller gave us no help with vectors and only told us the outbound radial to hold on after we passed the VOR. My first step after passing the station was to enter what I thought was the proper hold in the FMS as quickly as I could and the FMS seemed to accept this. I watched as the aircraft proceeded what I thought was a parallel entry but in my haste I must have programmed the hold wrong and the aircraft kept going in the wrong direction. So I proceed to turn back to the VOR and slowed the aircraft at the same time. The Controller obviously saw that we were having trouble but did nothing to offer any help. He only chastised us for not holding on the correct radial. I did not want to argue with him and we just asked for a heading to help us out. He then told us to intercept and track on an airway towards MMU. We started to head in the proper direction with no help from the Controller and finally got handed off to New York approach. New York told us that TEB was not closed and we could proceed there instead of MMU. He gave us a heading to intercept the ILS and we proceed to intercept and land at TEB without further incident. Upon landing we had time to reflect as to the error chain that was building during our very poor holding instructions given with no notice right on top of the VOR we had to hold on and no help from the Controller who obviously saw we were having trouble. The terrible weather and turbulence did not make it any easier to hold. In hindsight I should have told the Controller we were unable to hold without some delay vectors to get things set up in the cockpit correctly. I should have had the New York area low chart out to see the hold as depicted but we had no time and got really rushed and started to make a few errors. Once we were out of that Controllers airspace and over to New York approach we had no further problems.