First make sure you downloaded the right version of the option file.
Second, you have to find the folder where your WE9 saves are.
I did default installation and it created a KONAMI folder in the My Documents folder. Something like My Documents/KONAMI/Winning Eleven 9/save/folder 1. If not then try looking under Program Files/KONAMI... If all else fails, do a search for a Winning Eleven 9 folder.
There should already be an option file in there called "KONAMI-WIN32WE9UOPT"
For some reason, the game will only load option files under that exact name. So you have to delete the one that is already in there and rename the file you downloaded "KONAMI-WIN32WE9UOPT"
Start the game and it'll load the option file automatically.
Let me know if it works, I'll come back and check this thread.