If IE9 is saving your .ica links instead of opening the connection here is something to try.
1) Run regedit as administrator
2) Browse to HKEY_CLASSES_ROOT\PROTOCOLS\Filter\application/x-ica
3) Rename application/x-ica to application/x-ica.old
4) Close regedit
Try opening the .ica link now. Hopefully it will open the connection this time instead of saving the .ica file.