I faced the same problem to retrieve the certificate on IE9 BETA.
After click on the email´s link and fullfill the website´s fields a popup message indicate that the certificate could not be installed. After that, the following message is shown:
Attempting to collect and install your Free Certificate…
ERROR 0x80092004: CertEnroll::CX509Enrollment::InstallResponse: A propriedade ou o objeto não foi encontrado. 0x80092004 (-2146885628)
I have modified the browser´s security options, but I am still having the same problem.