Hi Deuce,

The first thing is, ATC wouldn't terminate a flight plan unless your refusing to co-operate with their instructions. You need to listen constantly to ensure you don't miss anything. The best way is to go into the ATC settings a start up an check the box to show ATC text automatically. This way you can read the instructions. ATC waits about 10 seconds for you to confirm the instruction, giving you pently of time to do as asked before confirming.

The second thing is, ensure you have the correct VOR frequency dialled in to your NAV1 radio. Turn on the NAV 1 by clicking at the top of the radio stack and turn on the DME the same way.
Once entered, you should correspond the auto pilot with the heading, not the nav. ATC will give you a heading to turn to, ussualy is RWY heading at the begining, so turn you OBS until the red indicator points straight up, from hear, every heading ATC tells, turn your OBS to move the red indicator to the specified heading.

You might have to manually move the VOR to intercept the heading your after, I'm not quiet sure in the cessna, if so, just moves its OBS so the heading is at the top.
From here all three, Heading Indicator, VOR and your Compass should all read the same heading.

Hope it helps a little

SV2003