This is really tragic. It sounds to me by the constant corrections offered by the controller that this pilot was having difficulty flying the VOR approach into Dunkirk. Whether he was distracted by the dead engine or having spatial difficulty in the clouds cannot be discerned from listening to the recording. His communications are clear and seemingly professional.
Here are the KDKK METAR observations from the time surrounding the crash:
KDKK 171453Z AUTO 28006KT 10SM BKN007 OVC011 07/06 A3016 RMK AO2 CIG 005V010 SLP216 60000 T00720056 51021
KDKK 171353Z AUTO 29007KT 4SM BR BKN006 OVC014 07/06 A3014 RMK AO2 RAE21 CIG 004V010 SLP210 P0000 T00670056
KDKK 171345Z AUTO 28005KT 3SM BR SCT006 SCT009 OVC014 07/06 A3014 RMK AO2 RAE21 P0000
Notice the broken layer at 600 feet and the CIG 004v010 in the remarks of the 9:53 local observation (roughly the time of the crash), which translates to "ceilings variable between 400 feet and 1000 feet." Note that these reports above are "system-wide" AWOS reports, but the pilot would have (hopefully) been listening to the airport's "live" AWOS frequency that was reporting conditions by the minute. Perhaps ceilings had momentarily lifted to above VOR approach minimums? Doubtful.
Dunkirk does not have any precision approaches. The VOR 24 approach into Dunkirk, a step-down approach to a higher MDA, has minimums at 1,300 feet, which seems to imply that this poor soul didn't have a chance of getting into Dunkirk that morning given the low ceilings. Here is that particular approach plate:
http://www.myairplane.com/databases/approach/pdfs/00880V24.PDFBuffalo International, which he had passed about five minutes prior on his way down to DKK, has an ILS to 200 feet minimums. Why he opted for Dunkirk instead of Buffalo is the fateful question. My thoughts and prayers go out to the family(ies) of those on board.