The vast majority of freeware Bf109s for "FS9" are actually, as has already been said, CFS2 models (which are actually FS8 format). These will not work in FSX and I have been having exactly the same problem with other WW2 aircraft - freeware examples simply don't exist. probably because "CFS4" doesn't exist that uses FSX's model format or one compatible with it.
The main reason is that modelling for FSX is vastly more complex and time consuming than it has been for previous versions of the sim. Demands are also higher (fully clickable VCs, bump, reflection and enviromental maps on textures, much higher level of model detail demanded, much higher flight model fidelity demanded), which puts all but the most dedicated off doing any modelling whatsoever.
It's a major downside to "progress" in the sim, really. For every step we take forwards in terms of realism, it's a step away from freeware and towards everything having to be commercial in order to be actually able to develop for the sim!
Ian P.