THE AIRCREW OF A CESSNA 340, N5415M, WERE SCHEDULED FOR AN AIR TAXI CHECK RIDE WITH AN INSPECTOR AT JACKSON, WY, LATER IN THE AFTERNOON. THEY HAD PLANNED TO TAKEOFF FROM ROCK SPRINGS, WY, PRACTICE AT FEW INSTRUMENT APCHS AT ROCK SPRINGS, THEN PROCEED TO JACKSON. AFTER TAKING OFF, THEY MADE AN NDB APCH, MADE A MISSED APCH, THEN BEGAN AN ILS APCH. A BEECH BONANZA, N1825F, WAS ON A FLT FROM SCOTTSBLUFF, NE TO ROCK SPRINGS. DURING ARRIVAL TO ROCK SPRINGS, THE BONANZA PLT WAS MONITORING THE POSITION OF A KING AIR THAT WAS AHEAD OF HIM & ALSO ON AN APCH TO THE SAME ARPT. ALL 3 ACFT WERE USING THE SAME FREQUENCY & ALL 3 WERE PROVIDING REPORTS OF THEIR RESPECTIVE POSITIONS. AT APRX 1103 MDT, WITNESSES HEARD N5415M & N1825F COLLIDE, THEN SAW THE ACFT & PIECES OF WRECKAGE FALLING. AN INVESTIGATION REVEALED THE CESSNA WAS INBOUND TOWARD THE OUTERMARKER (270 DEG COURSE) & THE BONANZA WAS IN LEVEL FLT, HEADING APRX 219 DEG. BOTH ACFT WERE OPERATING VFR.