By default the option to view FTP site in Windows Explorer is hidden in Internet Explorer 9 (IE9).
To enable it you have to go to Internet Options -> Advanced -> Enable FTP Folder View as shown below:
Once this option is enabled you should see Open FTP Site in Windows Explorer in the View-menu.
(Keep in mind that this option is only visible when you are on an FTP page).
Note: Press ALT to show Internet Explorer menus.