In the US, maintain last cleared altitude until established on an approach. FAA AIM Sec. 5-4-6:
e. The following applies to aircraft on radar vectors and/or cleared “direct to” in conjunction with an approach clearance:
1. Maintain the last altitude assigned by ATC until the aircraft is established on a published segment of a transition route, or approach procedure segment, or other published route, for which a lower altitude is published on the chart. If already on an established route, or approach or arrival segment, you may descend to whatever minimum altitude is listed for that route or segment.
Sec 5-4-7:
b. When operating on an unpublished route or while being radar vectored, the pilot, when an approach clearance is received, must, in addition to complying with the minimum altitudes for IFR operations (14 CFR Section 91.177), maintain the last assigned altitude unless a different altitude is assigned by ATC, or until the aircraft is established on a segment of a published route or IAP. After the aircraft is so established, published altitudes apply to descent within each succeeding route or approach segment unless a different altitude is assigned by ATC.
To reiterate that the use of MSA is NOT allowed in this case, Sec 5-4-5 says:
c. Minimum Safe/Sector Altitudes (MSA) are published for emergency use on IAP charts.