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Technically you're supposed to overfly MYF (your clearance limit), then proceed to an IAF at the appropriate time and fly an approach. In reality, unless you have a GPS, this probably isn't feasable, so I would go from MZB to an IAF via the shortest route possible and fly the approach.
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For this discussion, I am assuming IMC for the entire flight. Now I'm also assuming the ILS 28R approach, so the IAF would be BARET. If you are going by the book, you would proceed from MZB VOR to MYF (the clearance limit), then to BARET. Correct me if I am wrong, but this should be done via airways above the applicable altitude minimums. I am rusty in my IFR procedures, but going by the book, you would have to fly airways to BARET, then to a procedure turn at BARET to do a 180 degree turn around and start the approach. Someone please chime in and confirm or deny.
From the AIM:
"If the clearance limit is not a fix from which an approach begins, leave the clearance limit at the expect further clearance time if one has been received, or if none has been received, upon arrival over the clearance limit, and proceed to a fix from which an approach begins and commence descent or descent and approach as close as possible to the estimated time of arrival as calculated from the filed or amended (with ATC) estimated time en route."