My ILS system works in the Lear Jet 45 but this is what it does, I am about 40 miles away from the airport and I am already set up basicly heading right at the rwy then when I get aprox. 20 miles out and the ILS Freq. picks up and I turn on the approuch hold switch and my ILS indicater shows just about lined up when all that needs to be done is just a small turn to become aligned with the glide scope then the auto pilot starts turning sharp and keeps missing the glide scope bouncing back and forth till I get real close to the rwy then it lines me up but by that time I am to close and I over shoot the rwy. why would the Lear Jet 45 ILS approuch be messing up like that?

Make sure you intercept the GS from below.  You can be far enough out, say 20 mi, but still be above the GS.  Check that the GS bug is above the center of the ADI.

Hey Yoda, what if the runway is actually straight ahead from his descent point. Doesn't make sence to create a route offset and then do an intercept turn?  

And some info regarding the standard 30 degree intercept angle:
The 30 degree angle stuff is a thing of "old" days and really can be disregarded by the new generation jets.
The old autopilots could not capture the LOC at angles greater than some 30 degrees.  I'm citing a swedish DC9 pilot

"30 degree intercept is standard, older autopilots (like the DC9) need this. In modern aircrafts, the autosystem will normally be able to intercept at an angel twice as big."

the 737 (hey what else   ) can fly an automated procedure turn, FMC will construct predicted paths based on geometric limitation of the turn (FMC assumes 170KIAS and current wind condition), Now that's something the DC9's could just dream of to do  
Take a look at many approach charts they have steeper turns than 30degrees   8)

But in FS I agree with you, the autopilot handles the LOC better with 30degree intercept than say a 45

Anyways capture the GS from below, like Nickle said. The ATC usually does a job when it comes to give you the proper altitude for localizer intercepts. Then just maintain that altitude until the 'diamond' starts moving downwards to the center of the vertical scale.

Personally I never fly the Lears so I can't give you any in-depth advices though  

You can intercept the ILS from the last vector that ATI and gives you but you need to be established on autopilot altitude and heading. Do not switch altitude off before switching to APP. Also make sure you have set the ILS frequency into NAV1 and not a VOR frquency. Also chec to be sure you have the NAV/GPS switch set to NAV. The aircraft will follow the glideslope down and align with the runway. on Short final get off autothrottle and establish your approach speed manually. Remember that in FS9, landing speed is just that LANDING SPEED AT TOUCHDOWN not a mile out. Many of the aircraft will loose altitude rapidly if you get down to that speed too early. Have spoilers and auto brakes armed and switchoff the autopilot at about 50 feet, retard throttle, flair and brake and apply thrust reversers if necessary. If you remembered to lower the gear you should have a smooth landing. By the way ILS approaches from 15 miles or so are the norm for FS9 and in real life they allow you to get everything accomplished before you reach the airfield. Look at the article on good approaches in this months Flying Magazine.

Yeah I suspect the problem was that you were not capturing the GS from below.
This will cause the AP to freak out ( sometimes ) and it will not land you on the runway.
( I found that out the hard way  )

If the approach speed is too high, then the AP cannot catch up with the ILS fast enough.

Try it with high speeds and low speeds and you will undersatand AP versus speed versus ILS sensitivity behaviour, on any aircraft.

Good luck