Does your program have the latest patch?
Does the file creator state that it is a PSP9 image or is it just Windows? Windows will associate the extension to the name, independent from the version, so while it might say that it is a PSP9 file (displaying the icon) it is actually PSPX and so on...

Pandora: the reason why you were able to open the file in PSP7 just by changing the extension is that the person who created it probably made it PSP7 compatible, but forgot to switch to the old extension - .pspimage was added to PSP8+.

EDIT: Yikes! Only now I saw that this is a topic from 2006! So I guess my reply only goes to the post revivor, Pandora.