Here is a comprehensive guide on how to ThinApp or virtualizate Internet Explorer 9 so you can run it in tandom with other Internet Explorer versions.

1. Start your VM
   1. For this tutorial, I am using a blank Windows 7 64-bit instance (not with SP1) using ThinApp Setup Capture 5.0.
2. Make sure you have the Internet Explorer 9 pre-requisites package installed.  The prerequisites can be found in this KB article: http://support.microsoft.com/kb/2399238
   Use Windows6.1-KB2454826-v2-x64.msi or  Windows6.1-KB2454826-v2-x32.msi depending on your machine (one is 32-bit the other is 64-bit)
   
3. Run the MSI
4. Click Yes when it asks to install
   
5. Restart your machine when prompted
   
6. Copy the IE9 offline installer to your machine
   http://windows.microsoft.com/en-us/internet-explorer/ie-9-worldwide-languages
   
7. Run the VMware->ThinApp Setup Capture program
   
8. Click Yes on the UAC Setup Capture dialog
   
9. Click Next on the Setup Capture - Welcome screen
   
10. Click the Prescan > button
    
11. Run the installer IE9-Windows7-x64-enu.exe when you get to the Install the Application Now! screen
    
    
12. Click Yes on the UAC screen
    
13. Click Install
    
14. Click Restart now when prompted
    
15. Click Yes on the UAC popup to launch the Setup Capture process again
    
16. Click Next on the Continue installation process window
    
17. Launch the Internet Explorer 9 program
    
18. Customize Internet Explorer how you want it on your main machine.  You can set security settings, default homepage, etc. (I like to set my homepage to about:blank since the ThinApps I have usually get deployed in virtual environments).  Close Internet Explorer when you have things the way you want.
    
19. Click Postscan > when you have finished customing Internet Explorer 9
    
20. Click OK on the Setup Capture screen
    
21. Uncheck the desktop.exe and inetcpl.exe Entry Points and click Next >
    (I suppose you could leave the inetcpl.exe, but I feel leaving it unchecked is a cleaner solution).
    
22. Click Next >
    
23. Click Next >
    
24. Click Next >
    
25. Click Next >
    (you can select No if you want to)
    
26. Click Next >
    
27. Change the Inventory name to Internet Explorer 9 and click Next >
    
28. Ensure Use seperate .DAT file is checked, check Generate MSI package if you want to deploy this as an installer, click Save >
    
29. Click Next if you receive some capture warnings provided they look like they aren't Internet Explorer related.
    Note: Your warnings could look a little different than mine, that is ok.
    
30. Optional Step: Deploying a desktop icon
    1. Click Edit Package.ini
       
    2. Scroll down to Internet Explorer.exe and change the Shortcuts line to contain %Desktop%;%Programs% and change [Internet Explorer.exe] to [Internet Explorer 9.exe].  Save and exit notepad.
    3. Click on Open Project Folder
       
    4. Click New Folder
       
    5. Click Continue on the UAC popup
    6. Enter %Common Desktop% on the new folder name
       
    7. Drag the Internet Explorer icon from your start menu into your new %Common Desktop% folder
       
    8. Click Continue on the UAC popup
       
    9. Rename the icon to Internet Explorer 9
       
    10. Click Continue on the UAC popup
        
    11. Right click on the icon and select Properties
        
    12. Change the Start in path from %HOMEDRIVE%%HOMEPATH% to "C:\Program Files (x86)\Internet Explorer\" and click OK
        
31. Click Build >
    
32. Click Finish
    
33. Test your Internet Explorer 9 Thinapp on another machine! 🙂