But after they say that I am to land ILS Rwy 33, they continue to give me instructions. Should I activate the approach and ignore their instructions?
Double-Farvel, as soon as you are told which runway you're to land on, look up the airport in Map View and set NAV1 to the frequency, runway direction etc. Then go on following ATC instructions.
In due course they'll say something like, "turn to course 40 degrees, maintain 2,500 feet until you are established on the localiser.Contact tower on 113.5." By that time (as explained in the Tute) you'll be able to see the course to the runway, and your own position, on the NAV1 gauge.
Tune in to the tower, press 'APR', and go on flying the course and height you've been given. As you get close to the runway line the ILS system will take over, line you up, and start you down the glidepath.
At some stage the Tower will tell you that you're 'cleared to land.' That will be the last instruction (unless you get told to 'Go Around') so after that you are in charge.
Hope it's clear now?