That's odd - I would have thought 09 would have been the default. And by default I'm guessing you mean if you double click a file in Windows Explorer, it launches 06 instead of 09. If that's the case, just right click on a dwg file in Windows Explorer and select "Open With". Then select the option "Choose Default Program..." for Vista, and for other it may just be "Choose Program" or the "Open with" may take you directly to your list of loaded programs. From there select AutoCAD 2009 and make sure the default program button is selected...
Do you mean you want to open drawing using 09 by double clicking the file? Firstly, right click a dwg and choose to Open with-> Choose program, and from the list of programs select 09, also tick "Always use selected program to open this kind of file."
However once you open the 06, the default open choice will change to 06 and will not default open with 09. The next time you have to rechoose the "open with" program.
