Exact Audio Copy 0.95 or higher - http://www.exactaudiocopy.de/
Exact Audio Copy is an advanced GUI which supports the Windows Media Encoder 9 Script.
Once you successfully download and run the Exact Audio Copy you will be welcomed by a Configuration Wizard.
Follow the prompts carefully. For this guide:
Press Finish and end the Wizard.
Insert your Audio CD to your CD/DVD Drive
Press Alt + G or go to Database > Get CD information from > Remote freedb
Wait a moment and if your CD is in the CDDB, your CD Audio tracks will acquire the matching titles
Press F9 or go to EAC > EAC Options
Go to Filename tab and change the Naming scheme to your preferred. I personally use %N %T which is the default naming scheme by Windows Media Player 9.
Go to Directories tab and choose Use this directory option. Browse for the folder where your encoded files are going to be saved. Since you accessed the CDDB information previously, you may see the CD Artist and CD Album information in EAC. For directory location, I personally use C:\Documents and Settings\All Users\Documents\My Music\Artist Name\Album Name\
Go to Write tab and deselect Upper all characters (on writing) - optional
Press OK when done
Press F11 or go to EAC > Compression Options
Go to External Compression tab and choose Microsoft WMA9 Encoder as below

(This is the most important part of the procedure).
Additional command line options: -a_codec WMA9PRO -a_mode 3 -a_setting 192_44_2_24
This command will encode the extracted WAV files to Windows Media Audio 9 Professional, Bitrate VBR, 192 Kbps 44 kHz 2 channel 24-bit
Other popular audio formats can be viewed from here. A full list of available formats can be found here.
Bit rate: set the same bit rate as you specified in the command line. In this case it will be 192 Kbps. (This only applies for CBR, in other cases command line will override this setting)
Press OK when done
Press Shift + F5 or the MP3 button in the left
EAC will start extracting the CD Audio tracks to WAV files first, and then EAC will use the Windows Media Encoder 9 Script to compress the WAV files

Once done, you will be able to play your Windows Media Audio 9 Professional files in Windows Media Player 9

Enjoy!