Maybe you could be a bit more specific...
What kind of Option File have you got? Is that a custom patch you downloaded? Which one is it?
Anyway, you should put the OF into User Folder\My Documents\Konami\Pro Evolution Soccer 2009\save
You talk about updates... you should be aware that the Konami in-game downloads, introduced with 1.20 patch, seem to be conflicting with custom patches, kitserver and Option Files, especially if you apply the updates AFTER copying the OF in the \save folder!
I hope this helped!