So long as you installed the correct VRay for 2009 and pointed it at your installation correctly (though from memory it should find it on its own) I see no reason why it doesn't appear.
Is there a path in your max configuration ini? I can't remember whether it installs to the max folder - if it does, can you check whether there is a VRay folder there, if not what is in the install folder? Is there a configuration program?
Sorry, its been a couple of years since I've used VRay or Max